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

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Nové trendy - 11. ročník mezinárodní vědecké konference - Sborník příspěvků

ISBN

978-80-87314-85-2

ISSN

2336-7431

e-ISSN

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Počet stran výsledku

10

Strana od-do

35-44

Název nakladatele

Soukromá vysoká škola ekonomická Znojmo

Místo vydání

Znojmo

Místo konání akce

Znojmo

Datum konání akce

24. 11. 2016

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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