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Portfel n-składnikowy z wartością bieżącą daną dyskretną liczbą rozmytą

100%
Siwek J.
Studia Ekonomiczne
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2017
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vol. 331
143-154
PL
W artykule zaprezentowano analizę portfela n instrumentów finansowych pod kątem kumulacji ryzyka nieprecyzyjności. Ryzyko to ujęte zostało poprzez reprezentowanie wartości bieżącej składników portfela przy pomocy dyskretnych liczb rozmytych. Badany model uwzględnia zarówno przesłanki racjonalne, jak i behawioralne aspekty zachowania inwestora, ponadto obejmuje ograniczenia techniczne i technologiczne systemów wsparcia decyzyjnego. Praca zawiera opis metody konstrukcji portfela, analizę parametrów ryzyka nieprecyzyjności oraz przykład numeryczny ukazujący sposób działania modelu. Wnioski z przeprowadzonej analizy dotyczą w dużej mierze reakcji ryzyka nieprecyzyjności na zmianę ilości i charakteru instrumentów składowych portfela.
EN
In the paper we present a vast analysis of a n-asset portfolio of financial instruments regarding the imprecision risk accumulation. The mentioned risk is modelled by present values of the assets being given as discrete fuzzy numbers. The researched model encompasses both rational and behavioural aspects of investor’s decision process as well as technical and technological limits of expert systems. Presented work include methods of portfolio construction, imprecision risk parameters’ characteristics, risk minimization problem and academic example illustrating model’s mechanics. Conclusions from performed analysis are connected mostly with the imprecision risk response to a change in the number and character of portfolio assets.
2
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A Fuzzy Multicriteria Approach for the Trading Systems on the Forex Market

100%
Juszczuk P., Kruś L.
Multiple Criteria Decision Making
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2019
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vol. 14
29-43
EN
The paper relates to the trading systems supporting traders ma- king decision on the forex market. Typical trading systems using tech- nical analysis generate a buy or sell signal when the technical indicator crosses a given oversell or overbought levels. The paper extends the approach in which the above strict crisp conditions are replaced by fuzzy relations. The indicators are treated not independently as it is in the typical systems but jointly. Currency pairs are compared in the muliticriteria space in which each criterion is dened by a membership function referring to a given indicator. New formulations of the mem- bership functions for dierent indicators are proposed. General ideas of the algorithm generating non-dominated alternatives in the multi- criteria space are presented. The algorithm has been implemented in an experimental system. Computational results for dierent time win- dows using real-world data from the forex market are presented and discussed.
3
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Portfel dwuskładnikowy – przypadek wartości bieżącej danej jako trójkątna liczba rozmyta

100%
Siwek J.
Studia Ekonomiczne
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2015
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vol. 241
140-150
PL
Artykuł ma na celu przedstawienie właściwości portfela dwuskładnikowegodla przypadku, kiedy nieprecyzyjna wartość bieżąca jest opisana za pomocą trójkątnej liczby rozmytej. Wyznaczone zostaną rozmyta oczekiwana stopa zwrotu z portfela oraz oceny ryzyka niepewności i nieprecyzji obciążających ten portfel. Dzięki temu zostanie opisany wpływ tworzenia portfela złożonego z instrumentów o nieprecyzyjnie wyznaczonej wartości bieżącej na ryzyko stopy zwrotu z portfela. Ponadto zostanie wyjaśniona kwestia, czy zdefiniowane powyżej stopy zwrotu spełniają podstawowy warunek klasycznej teorii portfelowej.
EN
The main goal of the following article is to present the properties of two-asset portfolio in case of imprecise present value being described as a triangular fuzzy number. Fuzzy expected return rate of the portfolio and assessments of uncertainty and imprecision risk will be appointed. Thus, a problem of revenue maximization will be introduced.
4
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Supporting Multicriteria Fuzzy Decisions on the Forex Market

100%
Juszczuk P., Kruś L.
Multiple Criteria Decision Making
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2017
|
vol. 12
60-74
EN
This paper deals with decisions made by a decision maker using technical analysis on the Forex market. For a number of currency pairs on the market the decision maker obtains buy or sell signals from transaction systems using technical analysis indicators. The signal is generated only when the assumed conditions are satised for a given indicator. The information characterizing every market situation and presented to the decision maker is binary: he either obtains the signal or does not. In this paper a fuzzy multicriteria approach is proposed to extend and valuate information for the analysis of the market situation. The traditional approach with binary characterization of the market situations, referred to as a crisp approach, is replaced by a fuzzy approach, in which the strict conditions for which the crisp signal was generated are fuzzy. The eciency of a given currency pair is estimated using values from the range <0,1> and is dened by the membership function for each technical indicator. The values calculated for dierent indicators are treated as criteria. The eciency of a given currency pair can be analyzed jointly for several indicators. The currency pairs are compared in the multicriteria space in which domination relations, describing preferences of the decision maker, are introduced. An algorithm is proposed which generates Pareto-optimal variants of currency pairs presented to the decision maker. The method proposed allows to extend the number of analyzed currency pairs, without signicantly increasing the computation time.
5
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Multicriteria Fuzzy Evaluation of Project Success in R&D Projects

100%
Kuchta D.
Multiple Criteria Decision Making
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2019
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vol. 14
44-59
EN
The paper reviews the state of art in project success evaluation, especially with respect to R&D projects, with emphasis on the ambiguity of such evaluation, its strong dependence on the con-text and on the evaluator. We also recall basic information about fuzzy numbers and propose the concept of fuzzy rules which are used in the suggested procedure of R&D project evaluation. The procedure is described and illustrated by means of a real- -world case study.
6
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Wielokryterialne harmonogramowanie projektu w przypadku rozmytych czasów trwania czynności

84%
Krzeszowska-Zakrzewska B.
Studia Ekonomiczne
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2015
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vol. 237
50-69
PL
W praktyce zarządzania projektami mamy do czynienia z niezwykłą dynamiką działań i warunków, które prowadzą do niepewności informacji i danych. Dlatego też stosowanie podejścia opartego na liczbach rozmytych do harmonogramowania projektu zdaje się być zasadne. W artykule tym podejście oparte na liczbach rozmytych zostanie zastosowane do problemu wielokryterialnego harmonogramowania projektu. Celem opracowania jest budowa wielokryterialnego modelu harmonogramowania projektu uwzględniającego dwa kryteria: minimalizacji czasu trwania projektu oraz maksymalizacji zdyskontowanych przepływów pieniężnych. Stosowanym parametrem rozmytym zadania będzie czas trwania czynności, który zostanie przedstawiony jako trapezowa liczba rozmyta. Zaproponowana zostanie adaptacja metody przeszukiwania z tabu celem rozwiązania tak postawionego problemu.
EN
Planning is one of the most important aspect in project management. Plan defines goals, activities and timeframe for project realization. To define project timeframe, project schedule needs to be prepared. In real life applications project managers have to deal with dynamic environment and uncertainty. In this situation deterministic approach for project planning brings a risk for project timely completion. This is the reason for using fuzzy numbers in project scheduling problem. In this paper fuzzy based approach was used for multiple criteria project scheduling problem. The purpose of this paper is to build fuzzy multiple criteria mathematical model with two objectives: project time minimization and NPV maximization. Activities duration will be presented as fuzzy numbers
7
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Using a Fuzzy Approach in Multi-Criteria Decision Making with Multiple Alternatives in Health Care

84%
Jakubczyk M.
Multiple Criteria Decision Making
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2015
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vol. 10
65-81
EN
One of the responsibilities of the health care sector regulator is to decide which health technologies (drugs, procedures, diagnostic tests, etc.) should be financed using public resources. That requires taking into account multiple criteria, of which two important ones are: cost and effectiveness of a technology (others being, e.g., prevalence, safety, ethical and social implications). Hence, health and wealth need to be traded off against each other, and hence the willingness-to-pay (WTP) has to be determined. Various approaches to setting WTP have been taken, yet the results differ substantially. In the present paper I claim that the proper approach is to treat WTP as a fuzzy concept (the decision maker may not be able to decidedly state that a given health-wealth trade-off coefficient is acceptable/unacceptable - an idea backed up by the survey presented in the paper). Previous research shows how this fuzzy approach can be embedded in defining the preference relation and pairwise comparisons. In the present paper I account for the fact that there are often more than two alternatives available. To avoid difficulties that might arise (e.g., incompleteness or intransitivity of preferences) I show how the fuzzy approach can be used to define a fuzzy choice function based on the axiomatic approach. Some properties are discussed (e.g., how the approach handles the dominance and extended dominance), and the directions of further research are hinted at.
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