ON MODIFICATION OF FUZZY MODEL OF SECURITIES PORTFOLIO OPTIMIZATION BY A. O. NEDOSEKIN
Kozlovskaya Yana Igorevna Perm National Research Polytechnic University
Abstract. The paper suggests a method for determining the profitability of securities taking into account daily fluctuations in their value. To describe profitability the author uses triangular fuzzy numbers, which are composed subject to changes in asset prices during the period from April till May 2014. With the help of such definition of profitability the model of portfolio optimization proposed by A. O. Nedosekin is modified. A calculated example under consideration shows that the presented description of profitability can be applied in practice.
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