THE ROLE OF INFORMATION RELIABILITY IN FORECASTING AND EVALUATING INVESTMENT PORTFOLIO RISK UNDER UNCERTAINTY: DEVELOPMENT OF А FUZZY APPROACH WITH A Z-NUMBERS EXTENSION
DOI:
https://doi.org/10.25806/uu-6294Статья поступила в редакцию: 08.04.2026
Статья принята к публикации: 22.05.2026
Статья опубликована: 30.05.2026
Keywords:
portfolio risk forecasting, imperfect information, fuzzy modelling, Z-numbers, information reliability, investment decisions.Abstract
Investment decision-making mostly takes place under conditions of uncertainty. Forecasting and evaluating of investment portfolio risk are among central problems in making investment decisions. Despite their analytical clarity, consistent logic, and relative computational simplicity, classical approaches to portfolio formation and portfolio risk forecasting depend on the accuracy of parametric estimates, which limits their adequacy in situations where information is incomplete, imperfect and Volatile. Fuzzy approaches enhance modelling capabilities by allowing representation of initial parameters in the form of intervals, linguistic judgements, and fuzzy-random variables. Meanwhile, traditional fuzzy models treat fuzzy estimates as fully reliable, which may be considered a methodological gap. This study examines that gap and proposes that risk forecasting in portfolio selection should distinguish between uncertainty in the estimated value and the reliability of the information on which that estimate is based. The article presents a comparative analysis of classical, traditional fuzzy, and fuzzy approaches with a Z-number extension. The comparative study shows that approaches based on Z-numbers qualitatively improve traditional fuzzy modelling, since they consider the reliability of information used in evaluation. Such an extension becomes crucial in the problem of optimal portfolio selection, where market data, expert opinion, and strategic preferences are combined.
The analysis conducted in this paper suggests that an approach to risk assessment and forecasting that considers the reliability of information has both theoretical and practical significance, since it refines the interpretation of imperfect information in portfolio selection models and supports more reasonable investment decisions under conditions of uncertainty.
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Правообладатель: Издательский дом «Академический».
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