Issue: 2018/Vol.28/No.2, Pages 41-56
THE PRESENT VALUE OF A PORTFOLIO OF ASSETS WITH PRESENT VALUES DETERMINED BY TRAPEZOIDAL ORDERED FUZZY NUMBERS
Anna Łyczkowska-Hanćkowiak
, Krzysztof Piasecki
Cite as: A. Łyczkowska-Hanćkowiak, K. Piasecki. The present value of a portfolio of assets with present values determined by trapezoidal ordered fuzzy numbers. Operations Research and Decisions 2018: 28(2), 41-56. DOI 10.5277/ord180203
Abstract
We consider the obvious thesis that the present value of a portfolio is equal to the sum of the present values of its components. The main goal of this paper is the implementation of this thesis in the case when present values are determined by trapezoidal ordered fuzzy numbers. We apply the revised sum of ordered fuzzy numbers. The associativity of such a revised sum is investigated here. In addition, we show that the multiple revised sum of a finite sequence of trapezoidal ordered fuzzy numbers depends on the ordering of its summands. Without any obstacles, the results obtained can be generalized to the case of any ordered fuzzy numbers.
Keywords: present value, ordered fuzzy number, portfolio, revised sum
Received: 7 November 2017 Accepted: 16 May 2018