Krzysztof Piasecki , Joanna Siwek

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The main purpose of the following paper is to present characteristics of a multi-asset portfolio in case of present values of composing financial instruments being modelled by a trapezoidal fuzzy number. Throughout the analysis a fuzzy expected discount factor and imprecision risk assessments are calculated. Thanks to that, there arises a possibility to describe the influence of portfolio diversification on imprecision risk. Presented theoretical inference and obtained conclusions are supported by numerical example.


multi-asset portfolio, present value, trapezoidal fuzzy number, discount factor


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