PROCEEDINGS IPMU '08
Fuzzy Investment Decision Making
Maria Letizia Guerra, Laerte Sorini, Luciano Stefanini.
Recent literature on fuzzy numbers is
rich of several approaches to approximate
operations between fuzzy numbers.
The desirable feature is to
preserve the real shape of the fuzzy
numbers resulting from the operations,
without loosing in simplicity and applicability
and in goodness of the approximations.
In some recent papers
we introduce a representation of the
fuzzy numbers, based on the use of
parametrized monotonic functions to
model the alfa-cuts (or the membership
functions) of the fuzzy numbers. We
call it the LU representation, as it models
directly the Lower and the Upper
branches of the fuzzy numbers and it
uses the parametrization to perform the
arithmetic operations and more generally
the fuzzy calculus. It is well known
that economic and financial applications
are strongly dependent on the precision
of the input data and that in many
cases the quality of the information becomes
critical to the validity of the results.
A suitable methodology to approach
this problems can be based of
the fuzzy calculus as it allows the description
of uncertain or imprecise interest
rates, volatility or prices in combination
with the stochastic (risky) characters
of the real world. We develop here
a fuzzy investment choice process taking
advantage of the good qualities of
the LU parametric representation.
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