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License Agreement on scientific materials use.
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ON MODIFICATION OF FUZZY MODEL OF SECURITIES PORTFOLIO OPTIMIZATION BY A. O. NEDOSEKIN
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Yana Igorevna Kozlovskaya
Perm National Research Polytechnic University
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Submitted:
February 1, 2015
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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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Key words and phrases:
ценная бумага
портфель ценных бумаг
нечеткие числа
доходность
риск
модель
security
securities portfolio
fuzzy numbers
profitability
risk
model
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References:
- Компоненты РТС [Электронный ресурс]. URL: http://ru.investing.com/indices/rtsi-components (дата обращения: 01.06.2014).
- Недосекин А. О. Нечетко-множественный анализ риска фондовых инвестиций. СПб.: Сезам, 2002. 181 с.
- Недосекин А. О. Новый подход к оптимизации фондового портфеля в нечеткой постановке задачи [Электронный ресурс]. URL: http://sedok.narod.ru/s_files/2003/Art_100703.doc (дата обращения: 25.11.2014).
- Шведов А. С. О нечетко-случайных величинах. М.: Издательский дом Высшей школы экономики, 2013. 28 с.
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