Issue: 2023/Vol.33/No.4, Pages 155-170
ON PORTFOLIO ANALYSIS USING ORIENTED FUZZY NUMBERS FOR THE TRADE-RELATED SECTOR OF THE WARSAW STOCK EXCHANGE
Anna Łyczkowska-Hanćkowiak
, Aleksandra Wójcicka-Wójtowicz
Cite as: A. Łyczkowska-Hanćkowiak, A. Wójcicka-Wójtowicz. On portfolio analysis using oriented fuzzy numbers for the trade-related sector of the Warsaw Stock Exchange. Operations Research and Decisions 2023: 33(4), 155-170. DOI 10.37190/ord230409
Abstract
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: oriented fuzzy numbers, recommendations, portfolio analysis, imprecision, fuzzy discount factor
Received: 22 December 2022 Accepted: 17 August 2023
Published online: 22 December 2023