On portfolio analysis using oriented fuzzy numbers for the trade-related sector of the Warsaw Stock Exchange

• Authors: Anna Łyczkowska-Hanćkowiak , Aleksandra Wójcicka-Wójtowicz

Abstracts

EN

Oriented fuzzy numbers are useful in portfolio management since they convey information regarding uncertainty and imprecision when considering financial markets. One may apply a fuzzy discount factor and an imprecise present value in the form of a trapezoidal oriented fuzzy number. An investor can obtain recommendations on individual stocks (buy, sell, accumulate, reduce). Analogous recommendations are also issued by experts. In such cases, recommendations are mostly based on available data and expert’s knowledge and experience. The purpose of the paper is to present a procedure for comparing the accuracy of both types of recommendations. Also, the real impact the recommendations have on potential changes in portfolio composition in trading-related industries is considered. The research uses quotations from companies from the trading sector of the Warsaw Stock Exchange (WSE). Theoretical considerations are presented in the form of an empirical case study.

Keywords

EN

oriented fuzzy numbers; recommendation; portfolio analysis; imprecision; fuzzy discount factor

• Publisher: Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
• Journal: Operations Research and Decisions
• Year: 2023
• Volume: 33
• Issue: 4

Dates

published

2023

Contributors

author

Anna Łyczkowska-Hanćkowiak

• Institute of Economy and Finance, WSB Merito University in Poznań, Poznań, Poland

author

Aleksandra Wójcicka-Wójtowicz

• Department of Operations Research and Mathematical Economics, Poznań University of Economics and Business, Poznań, Poland

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Identifiers

DOI

10.37190/ord230409

Biblioteka Nauki

29432380