Modeling the Covariance of Financial Assets Using Neutrosophic Fuzzy Numbers

Autor:	Marcel-Ioan Boloș, Ioana-Alexandra Bradea, Camelia Delcea
Jazyk:	angličtina
Rok vydání:	2023
Předmět:	portfolios risk Physics and Astronomy (miscellaneous) Chemistry (miscellaneous) General Mathematics financial assets’ return Computer Science (miscellaneous) neutrosophic covariance neutrosophic numbers’ symmetry financial assets’ portfolios portfolios return portfolios structure
Zdroj:	Symmetry Volume 15 Issue 2 Pages: 320
ISSN:	2073-8994
DOI:	10.3390/sym15020320
Popis:	This paper aims to model the covariance of financial assets using neutrosophic fuzzy numbers. Two main concepts are discussed and used, namely the neutrosophic covariance of the financial assets and the independent neutrosophic portfolios. In terms of methodology, a three-step approach is proposed with the purpose of identifying the independent neutrosophic portfolio return, the independent neutrosophic portfolio risk and the structure of the independent neutrosophic portfolio. For this purpose, neutrosophic fuzzy theory is chosen for this type of approach as it allows a proper modeling of the financial performance indicators by taking into account the probabilities of their achievement. This action is possible even in the situation in which linguistic variables are used for better characterizing the values of the recorded data. Numerical examples are provided in each stage of the methodology description for a better understanding of the proposed approach. The results of the study can be used to substantiate the decisions made by the capital market investors.
Databáze:	OpenAIRE
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