In investment appraisal, uncertainty can be managed through intervals or fuzzy numbers because the arithmetical properties and the extension principle are well established and can be successfully applied in a rigorous way. We apply interval and fuzzy numbers to the Average Internal Rate of...

In financial markets people have to cope with a lot of uncertainty while making decisions. Many models have been introduced in the last years to handle vagueness but it is very difficult to capture together all the fundamental characteristics of real markets. Fuzzy modeling for finance seems to...

In this paper we show that the possibilistic mean values produce computation results that may differ in a non trivial may from those obtained with the fuzzy extension principle. The evidence is carried out by comparing some examples derived from several models in finance and economics.

In this paper we show how a fuzzification process can benefit of the F-transform and possibility distributions.

An efficient methodology of estimation of parameters in the diffusion coefficient of the stochastic differential equation (SDE) is presented in this work. The methodology is based on the concept of quadratic variation of a stochastic process and on some classical numerical tools such as spline...

We analyze a decomposition of the fuzzy numbers (or intervals) which seems to be of interest in the study of some properties of fuzzy arithmetic operations and, in particular, in the analysis of fuzziness, of shape-preservation (symmetry) and distributivity of multiplication and division. By the...

This paper deals with with capital budgeting decisions under uncertainty. We present an Aggregate Return On Investment (AROI), obtained as the ratio of total (undiscounted) cash flow to total invested capital and show that it is a genuine rate of return which, compared with the risk-adjusted...

This paper presents a new approach to real options. The current options-based models have provided new insights into capital-budgeting decisions. Unfortunately they are not widely used by corporate managers and practitioners as they are formally complex, rather difficult to understand and rest...

Practitioners and some academics use potential dividends rather than actual payments toshareholders for valuing a firm´s equity. We underline the differences between the two methods and present some arguments supporting the thesis that firm valuation with potential dividends overstate the...

This paper introduces a new method of investment performance analysis, based on the recent approach of Average Internal Rate of Return (AIRR). We show that the approach generates rates of return suitable for assessing both a fund´s (portfolio´s) performance and a manager´s performance. The...