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Fuzzy possibilistic portfolio selection model with VaR constraint and risk-free investment
Li, Ting; Zhang, Weiguo; Xu, Weijun - In: Economic Modelling 31 (2013) C, pp. 12-17
We propose a possibilistic portfolio model with VaR constraint and risk-free investment based on the possibilistic mean … proposed a theorem as the solution, and derive a crisp equivalent form of the possibilistic portfolio under constraints of VaR … Stock Exchange. A conclusion is reached that the investors are able to choose a portfolio more suitable to them under the …
Persistent link: https://www.econbiz.de/10010636315
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Multi-objective mean-variance-skewness model with Burg's entropy and fuzzy return for portfolio optimization
Ray, Amritansu; Majumder, Sanat Kumar - In: Opsearch : journal of the Operational Research Society … 55 (2018) 1, pp. 107-133
Persistent link: https://www.econbiz.de/10011880288
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Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns
Moussa, A. Mbairadjim; Kamdem, J. Sadefo; Terraza, Michel - In: Economic modelling 39 (2014), pp. 247-256
Persistent link: https://www.econbiz.de/10010421851
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Value at risk methodology of international index portfolio under soft conditions (fuzzy-stochastic approach)
Zmeškal, Zdeněk - In: International review of financial analysis 14 (2005) 2, pp. 263-275
Persistent link: https://www.econbiz.de/10002738309
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Capital allocation for portfolios with non-linear risk aggregation
Boonen, Tim J.; Tsanakas, Andreas; Wüthrich, Mario V. - In: Insurance / Mathematics & economics 72 (2017), pp. 95-106
Persistent link: https://www.econbiz.de/10011694391
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Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
Chen, Wei; Gai, Yuxi; Gupta, Pankaj - In: Recent advances in optimization theory and applications, (pp. 103-127). 2018
Persistent link: https://www.econbiz.de/10011943426
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Estimation of portfolio return and value at risk using a class of Gaussian mixture distributions
Tan, Kangrong; Chu, Meifen - In: The international journal of business and finance … 6 (2012) 2, pp. 97-107
Persistent link: https://www.econbiz.de/10009389668
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Measuring portfolio risk of non-energy commodity using time-varying vine copula
Attafi, Zeineb; Ghorbel, Ahmed; Boujelbene, Younes - In: International Journal of Financial Markets and … 7 (2019) 2, pp. 163-190
Persistent link: https://www.econbiz.de/10012253560
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Covid-19 death risk estimation using VaR method
Surowiec, Agnieszka; Warowny, Tomasz - In: European research studies 24 (2021) 2, pp. 368-379
Persistent link: https://www.econbiz.de/10012663922
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A copula-GARCH model of conditional dependencies : estimating Tehran Market Stock Exchange value-at-risk
Shams, Sedigheh; Haghighi, Fatemeh K. - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 39-50
Tehran Stock Exchange portfolio including mentioned assets, is estimated. …
Persistent link: https://www.econbiz.de/10009769897