On return rate implied by behavioural present value
General Finance
2013-02-05 v1 Pricing of Securities
Abstract
The future value of a security is described as a random variable. Distribution of this random variable is the formal image of risk uncertainty. On the other side, any present value is defined as a value equivalent to the given future value. This equivalence relationship is a subjective. Thus follows, that present value is described as a fuzzy number, which is depend on the investor's susceptibility to behavioural factors. All above reasons imply, that return rate is given as a fuzzy probabilistic set. The basic properties of such image of return rate are studied. At the last the set of effective securities is distinguished as a fuzzy set.
Keywords
Cite
@article{arxiv.1302.0538,
title = {On return rate implied by behavioural present value},
author = {Krzysztof Piasecki},
journal= {arXiv preprint arXiv:1302.0538},
year = {2013}
}