Making an investment portfolio under uncertainty using the quantitative methods of the decision making theory

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F17%3A00309615" target="_blank" >RIV/68407700:21340/17:00309615 - 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
Making an investment portfolio under uncertainty using the quantitative methods of the decision making theory
Original language description
This article deals with an investment portfolio making under uncertainty. In this process, there can be several elements of uncertainty. One of them is a variable development of the value of some characteristics monitored in the capital market (e.g. return). The investment portfolio can be made using the quantitative approaches. Therefore, the variability of the input data must be quantified. The proper way is via the fuzzy numbers. To make a complex investment decision, the particular investment alternatives should be evaluated from more perspectives. Under these conditions, fuzzy multiple-objective programming method is suitable tool for making an investment portfolio. The algorithm of this method is briefly described. In order to understand the algorithm, some basic notions of the decision making theory and fuzzy sets theory are introduced. Further, the portfolio making process is also described. In the practical part, the portfolio of the open unit trusts offered by Česká spořitelna investment company is made. Two investment strategies are differentiated in order to cover utmost real situations. The results are analyzed and compared.
Czech name
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Czech description
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Project
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Continuities
S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Nové trendy - 11. ročník mezinárodní vědecké konference - Sborník příspěvků
ISBN
978-80-87314-85-2
ISSN
2336-7431
e-ISSN
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Number of pages
10
Pages from-to
35-44
Publisher name
Soukromá vysoká škola ekonomická Znojmo
Place of publication
Znojmo
Event location
Znojmo
Event date
Nov 24, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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