2013/02/03 by Krzysztof Piasecki, Piasecki, Krzysztof
Business, Management and Accounting · Decision Sciences · Economics, Econometrics and Finance · #91G80 #Economic and Technological Systems Analysis #FOS: Economics and business #General Finance (q-fin.GN) #Leadership, Behavior, and Decision-Making Studies #Pricing of Securities (q-fin.PR) #Risk and Portfolio Optimization #msc:91G80 #q-fin.GN #q-fin.PR
paper · pdf · doi:10.48550/arxiv.1302.0538
arxiv created 2013/02/03 · openalex publication_date 2013/02/03 · arxiv updated 2013/02/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The future value of a security is described as a random variable. Distribution of this random variable is the formal image of risk uncertainty. On the other side, any present value is defined as a value equivalent to the given future value. This equivalence relationship is a subjective. Thus follows, that present value is described as a fuzzy number, which is depend on the investor's susceptibility to behavioural factors. All above reasons imply, that return rate is given as a fuzzy probabilistic set. The basic properties of such image of return rate are studied. At the last the set of effective securities is distinguished as a fuzzy set.