IDEAS home Printed from https://ideas.repec.org/a/gam/jmathe/v7y2019i11p1046-d283191.html
   My bibliography  Save this article

Neutrosophic Portfolios of Financial Assets. Minimizing the Risk of Neutrosophic Portfolios

Author

Listed:
  • Marcel-Ioan Boloș

    (Department of Finance and Banks, University of Oradea, 410087 Oradea, Romania)

  • Ioana-Alexandra Bradea

    (Department of Informatics and Cybernetics, Bucharest University of Economic Studies, 010552 Bucharest, Romania)

  • Camelia Delcea

    (Department of Informatics and Cybernetics, Bucharest University of Economic Studies, 010552 Bucharest, Romania)

Abstract

This paper studies the problem of neutrosophic portfolios of financial assets as part of the modern portfolio theory. Neutrosophic portfolios comprise those categories of portfolios made up of financial assets for which the neutrosophic return, risk and covariance can be determined and which provide concomitant information regarding the probability of achieving the neutrosophic return, both at each financial asset and portfolio level and also information on the probability of manifestation of the neutrosophic risk. Neutrosophic portfolios are characterized by two fundamental performance indicators, namely: the neutrosophic portfolio return and the neutrosophic portfolio risk. Neutrosophic portfolio return is dependent on the weight of the financial assets in the total value of the portfolio but also on the specific neutrosophic return of each financial asset category that enters into the portfolio structure. The neutrosophic portfolio risk is dependent on the weight of the financial assets that enter the portfolio structure but also on the individual risk of each financial asset. Within this scientific paper was studied the minimum neutrosophic risk at the portfolio level, respectively, to establish what should be the weight that the financial assets must hold in the total value of the portfolio so that the risk is minimum. These financial assets weights, after calculations, were found to be dependent on the individual risk of each financial asset but also on the covariance between two financial assets that enter into the portfolio structure. The problem of the minimum risk that characterizes the neutrosophic portfolios is of interest for the financial market investors. Thus, the neutrosophic portfolios provide complete information about the probabilities of achieving the neutrosophic portfolio return but also of risk manifestation probability. In this context, the innovative character of the paper is determined by the use of the neutrosophic triangular fuzzy numbers and by the specific concepts of financial assets, in order to substantiating the decisions on the financial markets.

Suggested Citation

  • Marcel-Ioan Boloș & Ioana-Alexandra Bradea & Camelia Delcea, 2019. "Neutrosophic Portfolios of Financial Assets. Minimizing the Risk of Neutrosophic Portfolios," Mathematics, MDPI, vol. 7(11), pages 1-27, November.
    • Handle: RePEc:gam:jmathe:v:7:y:2019:i:11:p:1046-:d:283191
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/2227-7390/7/11/1046/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/2227-7390/7/11/1046/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Changxing Fan & Jun Ye & Sheng Feng & En Fan & Keli Hu, 2019. "Multi-Criteria Decision-Making Method Using Heronian Mean Operators under a Bipolar Neutrosophic Environment," Mathematics, MDPI, vol. 7(1), pages 1-16, January.
    2. Dragan Pamučar & Ibrahim Badi & Korica Sanja & Radojko Obradović, 2018. "A Novel Approach for the Selection of Power-Generation Technology Using a Linguistic Neutrosophic CODAS Method: A Case Study in Libya," Energies, MDPI, vol. 11(9), pages 1-25, September.
    3. Shengjun Wu & Jie Wang & Guiwu Wei & Yu Wei, 2018. "Research on Construction Engineering Project Risk Assessment with Some 2-Tuple Linguistic Neutrosophic Hamy Mean Operators," Sustainability, MDPI, vol. 10(5), pages 1-26, May.
    4. Changxing Fan & Sheng Feng & Keli Hu, 2019. "Linguistic Neutrosophic Numbers Einstein Operator and Its Application in Decision Making," Mathematics, MDPI, vol. 7(5), pages 1-12, April.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Leonardo Sierra & Felipe Araya & Víctor Yepes, 2021. "Consideration of Uncertainty and Multiple Disciplines in the Determination of Sustainable Criteria for Rural Roads Using Neutrosophic Logic," Sustainability, MDPI, vol. 13(17), pages 1-15, September.
    2. Siqi Zhang & Hui Gao & Guiwu Wei & Yu Wei & Cun Wei, 2019. "Evaluation Based on Distance from Average Solution Method for Multiple Criteria Group Decision Making under Picture 2-Tuple Linguistic Environment," Mathematics, MDPI, vol. 7(3), pages 1-14, March.
    3. Zengxian Li & Guiwu Wei & Hui Gao, 2018. "Methods for Multiple Attribute Decision Making with Interval-Valued Pythagorean Fuzzy Information," Mathematics, MDPI, vol. 6(11), pages 1-27, October.
    4. Jie Wang & Guiwu Wei & Hui Gao, 2018. "Approaches to Multiple Attribute Decision Making with Interval-Valued 2-Tuple Linguistic Pythagorean Fuzzy Information," Mathematics, MDPI, vol. 6(10), pages 1-45, October.
    5. Liangping Wu & Guiwu Wei & Jiang Wu & Cun Wei, 2020. "Some Interval-Valued Intuitionistic Fuzzy Dombi Heronian Mean Operators and their Application for Evaluating the Ecological Value of Forest Ecological Tourism Demonstration Areas," IJERPH, MDPI, vol. 17(3), pages 1-31, January.
    6. Liangping Wu & Guiwu Wei & Hui Gao & Yu Wei, 2018. "Some Interval-Valued Intuitionistic Fuzzy Dombi Hamy Mean Operators and Their Application for Evaluating the Elderly Tourism Service Quality in Tourism Destination," Mathematics, MDPI, vol. 6(12), pages 1-20, December.
    7. Mujab Waqar & Kifayat Ullah & Dragan Pamucar & Goran Jovanov & Ðordje Vranješ, 2022. "An Approach for the Analysis of Energy Resource Selection Based on Attributes by Using Dombi T-Norm Based Aggregation Operators," Energies, MDPI, vol. 15(11), pages 1-23, May.
    8. Jiahuan He & Xindi Wang & Runtong Zhang & Li Li, 2019. "Some q -Rung Picture Fuzzy Dombi Hamy Mean Operators with Their Application to Project Assessment," Mathematics, MDPI, vol. 7(5), pages 1-28, May.
    9. Paz Fernández & Matías Ceacero-Moreno, 2021. "Study of the Training of Environmentalists through Gamification as A University Course," Sustainability, MDPI, vol. 13(4), pages 1-24, February.
    10. G.K. Koulinas & O.E. Demesouka & P.K. Marhavilas & A.P. Vavatsikos & D.E. Koulouriotis, 2019. "Risk Assessment Using Fuzzy TOPSIS and PRAT for Sustainable Engineering Projects," Sustainability, MDPI, vol. 11(3), pages 1-15, January.
    11. Chao Zhang & Deyu Li & Xiangping Kang & Yudong Liang & Said Broumi & Arun Kumar Sangaiah, 2020. "Multi-Attribute Group Decision Making Based on Multigranulation Probabilistic Models with Interval-Valued Neutrosophic Information," Mathematics, MDPI, vol. 8(2), pages 1-21, February.
    12. Edmundas Kazimieras Zavadskas & Jonas Šaparauskas & Jurgita Antucheviciene, 2018. "Sustainability in Construction Engineering," Sustainability, MDPI, vol. 10(7), pages 1-7, June.
    13. Vicent Penadés-Plà & David Martínez-Muñoz & Tatiana García-Segura & Ignacio J. Navarro & Víctor Yepes, 2020. "Environmental and Social Impact Assessment of Optimized Post-Tensioned Concrete Road Bridges," Sustainability, MDPI, vol. 12(10), pages 1-18, May.
    14. Bahadir Fatih Yildirim & Burcu Adiguzel Mercangoz, 2020. "Evaluating the logistics performance of OECD countries by using fuzzy AHP and ARAS-G," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 10(1), pages 27-45, March.
    15. Aro, Joerabell Lourdes & Selerio, Egberto & Evangelista, Samantha Shane & Maturan, Fatima & Atibing, Nadine May & Ocampo, Lanndon, 2022. "Fermatean fuzzy CRITIC-CODAS-SORT for characterizing the challenges of circular public sector supply chains," Operations Research Perspectives, Elsevier, vol. 9(C).
    16. Xiumei Deng & Jie Wang & Guiwu Wei & Mao Lu, 2018. "Models for Multiple Attribute Decision Making with Some 2-Tuple Linguistic Pythagorean Fuzzy Hamy Mean Operators," Mathematics, MDPI, vol. 6(11), pages 1-28, October.
    17. Luis Pérez-Dominguez & Sara-Nohemí Almeraz Durán & Roberto Romero López & Iván Juan Carlos Pérez-Olguin & David Luviano-Cruz & Jesús Andrés Hernández Gómez, 2021. "Assessment Urban Transport Service and Pythagorean Fuzzy Sets CODAS Method: A Case of Study of Ciudad Juárez," Sustainability, MDPI, vol. 13(3), pages 1-18, January.
    18. Tingting He & Guiwu Wei & Jianping Lu & Cun Wei & Rui Lin, 2019. "Pythagorean 2-Tuple Linguistic VIKOR Method for Evaluating Human Factors in Construction Project Management," Mathematics, MDPI, vol. 7(12), pages 1-13, November.
    19. Paula Donaduzzi Rigo & Graciele Rediske & Carmen Brum Rosa & Natália Gava Gastaldo & Leandro Michels & Alvaro Luiz Neuenfeldt Júnior & Julio Cezar Mairesse Siluk, 2020. "Renewable Energy Problems: Exploring the Methods to Support the Decision-Making Process," Sustainability, MDPI, vol. 12(23), pages 1-27, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jmathe:v:7:y:2019:i:11:p:1046-:d:283191. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.