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Two-Asset Portfolio with Triangular Fuzzy Present Values—An Alternative Approach

In: Contemporary Trends in Accounting, Finance and Financial Institutions

Author

Listed:
  • Krzysztof Piasecki

    (Poznan University of Economics and Business)

  • Joanna Siwek

    (Poznan University of Economics and Business)

Abstract

The basic tool for apprising the financial portfolio is a return rate. The main purpose of this article is to propose an alternative approach to presentation the characteristics of a to-asset portfolio in case of present value estimated by a triangular fuzzy number. For this case we justify the thesis that the expected discount factor is more convenient tool for profit analysis than expected return rate. Fuzzy expected discount factor for a portfolio and estimations of imprecision risk for that portfolio are calculated. As a result, the influence of portfolio diversification on imprecision risk is described.

Suggested Citation

  • Krzysztof Piasecki & Joanna Siwek, 2018. "Two-Asset Portfolio with Triangular Fuzzy Present Values—An Alternative Approach," Springer Proceedings in Business and Economics, in: Taufiq Choudhry & Jacek Mizerka (ed.), Contemporary Trends in Accounting, Finance and Financial Institutions, pages 11-26, Springer.
    • Handle: RePEc:spr:prbchp:978-3-319-72862-9_2
    DOI: 10.1007/978-3-319-72862-9_2
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    Cited by:

    1. Anna Łyczkowska-Hanćkowiak, 2019. "Sharpe’s Ratio for Oriented Fuzzy Discount Factor," Mathematics, MDPI, vol. 7(3), pages 1-16, March.

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