Portfel dwuskładnikowy z trójkątnymi rozmytymi wartościami bieżącymi – podejście alternatywne

• Authors: Piasecki Krzysztof , Siwek Joanna

Title variants

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

• Languages of publication: PL

Keywords

portfel dwuskładnikowy; wartość bieżąca; trójkątną liczba rozmyta; czynnik dyskonta

• Publisher: Główny Urząd Statystyczny
• Journal: Przegląd Statystyczny
• Year: 2017
• Volume: 64
• Issue: 1
• Pages: 59-78

Contributors

author

Piasecki Krzysztof

• Uniwersytet Ekonomiczny w Poznaniu, Wydział Zarządzania, Katedra Inwestycji i Nieruchomości

author

Siwek Joanna

• Uniwersytet Ekonomiczny w Poznaniu, Wydział Zarządzania, Katedra Inwestycji i Nieruchomości

References

• Buckley I. J., (1987), The Fuzzy Mathematics of Finance, Fuzzy Sets and Systems, 21, 257–273.
• Caplan B., (2001), Probability, Common Sense, and Realism: a Reply to Hulsmann and Block, The Quarterly Journal of Austrian Economics, 4 (2), 69–86.
• Chiu, C. Y., Park, C. S., (1994), Fuzzy Cash Flow Analysis Using Present Worth Criterion, The Engineering Economist, 39 (2), 113–138.
• Czerwiński Z., (1960), Enumerative Induction and the Theory of Games, Studia Logica, 10, 29–38.
• Czerwiński Z., (1969), Matematyka na usługach ekonomii, PWN, Warszawa.
• Duan L., Stahlecker P., (2011), A Portfolio Selection Model Using Fuzzy Returns, Fuzzy Optimization and Decision Making, 10 (2), 167–191.
• Dubois D., Prade H., (1978), Operations on Fuzzy Numbers, International Journal of Systems Science 9, 613–626.
• Dubois D., Prade H., (1979), Fuzzy Real Algebra: Some Results, Fuzzy Sets and Systems, 2, 327–348.
• Fang Y., Lai K. K., Wang S., (2008), Fuzzy Portfolio Optimization. Theory and Methods, Lecture Notes in Economics and Mathematical Systems, 609, Springer, Berlin.
• Greenhut J. G., Norman G., Temponi C. T., (1995), Towards a Fuzzy Theory of Oligopolistic Competition, IEEE Proceedings of ISUMA-NAFIPS, 286–291.
• Guo S., Yu L., Li X., Kar S., (2016), Fuzzy Multi-Period Portfolio Selection with Different Investment Horizons, European Journal of Operational Research, 254 (3), 1026–1035.
• Gupta P., Mehlawat M. K., Inuiguchi M., Chandra S., (2014), Fuzzy Portfolio Optimization. Advances in Hybrid Multi-criteria Methodologies, Studies in Fuzziness and Soft Computing, 316, Springer, Berlin.
• Gutierrez I., (1989), Fuzzy Numbers and Net Present Value, Scandinavian Journal of Management, 5 (2), 149–159.
• Hiroto K., (1981), Concepts of Probabilistic Sets, Fuzzy Sets and Systems, 5, 31–46.
• Huang X., (2007a), Two New Models for Portfolio Selection with Stochastic Returns Taking Fuzzy Information, European Journal of Operational Research, 180 (1), 396–405.
• Huang X., (2007b), Portfolio Selection with Fuzzy Return, Journal of Intelligent & Fuzzy Systems, 18 (4), 383–390.
• Khalili S., (1979), Fuzzy Measures and Mappings, Journal of Mathematical Analysis and Applications, 68, 92–99.
• Klir G. J., (1993), Developments In Uncertainty-Based Information, Advances in Computers, 36, 255–332.
• Knight F. H., (1921), Risk, Uncertainty, and Profit, Hart, Schaffner & Marx, Houghton Mifflin Company, Boston, MA.
• Kolmogorov A. N., (1933), Grundbegriffe der Wahrscheinlichkeitsrechnung, Julius Springer, Berlin.
• Kolmogorov A. N., (1956), Foundations of the Theory of Probability, Chelsea Publishing Company, New York.
• Kosko B., (1986), Fuzzy Entropy and Conditioning, Information Sciences, 40, 165–174.
• Kosko B., (1990), Fuzziness vs Probability, International Journal of General Systems, 17 (2/3), 211–240.
• Kuchta D., (2000), Fuzzy Capital Budgeting, Fuzzy Sets and Systems, 111, 367–385.
• Lambalgen M. von, (1996), Randomness and Foundations of Probability: Von Mises’ Axiomatization of Random Sequences, Institute of Mathematical Statistics Lecture Notes – Monograph Series 30, 347–367.
• Lesage C., (2001), Discounted Cash-Flows Analysis. An Interactive Fuzzy Arithmetic Approach, European Journal of Economic and Social Systems, 15 (2), 49–68.
• Li Ch., Jin J., (2011), Fuzzy Portfolio Optimization Model with Fuzzy Numbers, w: Li S., Wang X., Okazaki Y., Kawabe J., Murofushi T., Guan L., (red.), Nonlinear Mathematics for Uncertainty and its Applications, Advances in Intelligent and Soft Computing, 100, 557–565.
• Liu Y.-J., Zhang W.-G., (2013), Fuzzy Portfolio Optimization Model Under Real Constraints, Insurance: Mathematics and Economics, 53 (3), 704–711.
• de Luca A., Termini S., (1972), A Definition of a Non-Probabilistic Entropy in The Settings of Fuzzy Set Theory, Information and Control, 20, 301–313.
• de Luca A., Termini S., (1979), Entropy And Energy Measures Of Fuzzy Sets, w: Gupta M. M., Ragade R. K., Yager R. R., (red.), Advances in Fuzzy Set Theory and Applications, 321–338.
• Markowitz H. S. M., (1952), Portfolio Selection, Journal of Finance, 7 (1), 77–91.
• Mehlawat M. K., (2016), Credibilistic Mean-Entropy Models for Multi-Period Portfolio Selection with Multi-Choice Aspiration Levels, Information Science, 345, 9–26.
• Mises R. von, (1957), Probability, Statistics And Truth, The Macmillan Company, New York.
• Mises L. von, (1962), The Ultimate Foundation of Economic Science an Essay on Method, D. Van Nostrand Company, Inc., Princeton.
• Piasecki K., (2011a), Rozmyte zbiory probabilistyczne, jako narzędzie finansów behawioralnych, Wyd. UE, Poznań.
• Piasecki K., (2011b), Effectiveness of Securities with Fuzzy Probabilistic Return, Operations Research and Decisions, 21 (2), 65–78.
• Piasecki K., (2011c), Behavioural Present Value, SSRN Electronic Journal, DOI:10.2139/ssrn.1729351.
• Piasecki K., (2014b), Behawioralna wartość bieżąca – nowe podejście, Optimum Studia Ekonomiczne 67, 36–45.
• Piasecki K., Siwek J., (2015), Behavioural Present Value Defined as Fuzzy Number – a New Approach, Folia Oeconomica Stetinensia, 15 (2), 27–41.
• Saborido R., Ruiz A. B., Bermúdez J. D., Vercher E., Luque M., (2016), Evolutionary Multi-Objective Optimization Algorithms for Fuzzy Portfolio Selection, Applied Soft Computing, 39, 48–63.
• Sadowski W., (1977), Decyzje i prognozy, PWN, Warszawa.
• Sadowski W., (1980), Forecasting and Decision Making, Quantitative Wirtschafts- und Unternehmensforschung, Springer-Verlag, Berlin Heidelberg.
• Sheen J. N., (2005), Fuzzy Financial Profitability Analyses Of Demand Side Management Alternatives From Participant Perspective, Information Sciences, 169, 329–364.
• Siwek J., (2015), Portfel dwuskładnikowy – studium przypadku dla wartości bieżącej danej jako trójkątna liczba rozmyta, Studia Ekonomiczne. Zeszyty Naukowe Uniwersytetu Ekonomicznego w Katowicach 241, 140–150.
• Tsao C.-T., (2005), Assessing the Probabilistic Fuzzy Net Present Value For a Capital, Investment Choice Using Fuzzy Arithmetic, Journal of Chinese Insitute of Industrial Engineers, 22 (2), 106–118.
• Ward T. L., (1985), Discounted Fuzzy Cash Flow Analysis, 1985 Fall Industrial Engineering Conference Proceedings, 476–481.
• Wu X.-L., Liu Y. K., (2012), Optimizing Fuzzy Portfolio Selection Problems by Parametric Quadratic Programming, Fuzzy Optimization and Decision Making, 11 (4), 411–449.
• Zadeh L., (1965), Fuzzy Sets, Information and Control, 8, 338–353.
• Zhang X., Zhang W.-G., Xiao W., (2013), Multi-Period Portfolio Optimization under Possibility Measures, Economic Modelling, 35, 401–408.

Identifiers

DOI

10.5604/01.3001.0014.0761