Multinational Cash-flow netting Optimisation Problem under soft conditions

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F02%3A00002390" target="_blank" >RIV/61989100:27510/02:00002390 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Multinational Cash-flow netting Optimisation Problem under soft conditions
Original language description
According to information preciseness in optimisation the inner holding company cash flow netting problem we can distinguish four basic decision-making information situation: crisp, risky (stochastic), vague (fuzzy) and fuzzy-stochastic. In the real financial decision-making mainly stochastic and fuzzy-stochastic environment is present. It means reality is modelled by stochastic model, however, distribution function is stated vaguely. The paper deals with possibilities to use fuzzy-stochastic approach asthe sensitivity analysis. The cash flow netting problem is formulated and analysed with fuzzy-stochastic optimisation approach based on expected utility criterion, fuzzy utility function, multiple normal distribution, triangular fuzzy numbers, decomposition principle, binary fuzzy relation greater or equal. Fuzzy-stochastic optimisation programming technique is used; input data are introduced as fuzzy triangular numbers. Illustrative example is presented.
Czech name
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Czech description
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Project
<a href="/en/project/GA402%2F02%2F1046" target="_blank" >GA402/02/1046: Application of the Fuzzy-Stochastic Approaches in Financial Decision-making</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2002
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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