Next Article in Journal
New Quantum Estimates of Trapezium-Type Inequalities for Generalized ϕ-Convex Functions
Previous Article in Journal
Image Interpolation Using a Rational Bi-Cubic Ball
Previous Article in Special Issue
A New X-Bar Control Chart for Using Neutrosophic Exponentially Weighted Moving Average
Open AccessArticle

Neutrosophic Portfolios of Financial Assets Minimizing the Risk of Neutrosophic Portfolios

1
Department of Finance and Banks, University of Oradea, 410087 Oradea, Romania
2
Department of Informatics and Cybernetics, Bucharest University of Economic Studies, 010552 Bucharest, Romania
*
Author to whom correspondence should be addressed.
Mathematics 2019, 7(11), 1046; https://doi.org/10.3390/math7111046
Received: 16 September 2019 / Revised: 22 October 2019 / Accepted: 24 October 2019 / Published: 3 November 2019
(This article belongs to the Special Issue New Challenges in Neutrosophic Theory and Applications)
This paper studies the problem of neutrosophic portfolios of financial assets as part of the modern portfolio theory. Neutrosophic portfolios comprise those categories of portfolios made up of financial assets for which the neutrosophic return, risk and covariance can be determined and which provide concomitant information regarding the probability of achieving the neutrosophic return, both at each financial asset and portfolio level and also information on the probability of manifestation of the neutrosophic risk. Neutrosophic portfolios are characterized by two fundamental performance indicators, namely: the neutrosophic portfolio return and the neutrosophic portfolio risk. Neutrosophic portfolio return is dependent on the weight of the financial assets in the total value of the portfolio but also on the specific neutrosophic return of each financial asset category that enters into the portfolio structure. The neutrosophic portfolio risk is dependent on the weight of the financial assets that enter the portfolio structure but also on the individual risk of each financial asset. Within this scientific paper was studied the minimum neutrosophic risk at the portfolio level, respectively, to establish what should be the weight that the financial assets must hold in the total value of the portfolio so that the risk is minimum. These financial assets weights, after calculations, were found to be dependent on the individual risk of each financial asset but also on the covariance between two financial assets that enter into the portfolio structure. The problem of the minimum risk that characterizes the neutrosophic portfolios is of interest for the financial market investors. Thus, the neutrosophic portfolios provide complete information about the probabilities of achieving the neutrosophic portfolio return but also of risk manifestation probability. In this context, the innovative character of the paper is determined by the use of the neutrosophic triangular fuzzy numbers and by the specific concepts of financial assets, in order to substantiating the decisions on the financial markets. View Full-Text
Keywords: financial assets; neutrosophicportfolio; neutrosophic portfolio return; neutrosophic portfolio risk; neutrosophic covariance financial assets; neutrosophicportfolio; neutrosophic portfolio return; neutrosophic portfolio risk; neutrosophic covariance
MDPI and ACS Style

Boloș, M.-I.; Bradea, I.-A.; Delcea, C. Neutrosophic Portfolios of Financial Assets Minimizing the Risk of Neutrosophic Portfolios. Mathematics 2019, 7, 1046.

Show more citation formats Show less citations formats
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Back to TopTop