Narrow search
Showing 1 - 10 of 8,835
Cover Image
Fuzzy possibilistic portfolio selection model with VaR constraint and risk-free investment
Li, Ting; Zhang, Weiguo; Xu, Weijun - In: Economic modelling 31 (2013), pp. 12-17
Persistent link: https://www.econbiz.de/10009725814
Cover Image
Epidemic forecasting with a new fuzzy regression equation
Hsieh, Wen-Yeh; Tsaur, Ruey-Chyn - In: Quality & Quantity: International Journal of Methodology 47 (2013) 6, pp. 3411-3422
The traditional fuzzy regression model involves two solving processes. First, the extension principle is used to derive the membership function of extrapolated values, and then, attempts are made to include every collected value with a membership degree of at least h in the fuzzy regression...
Persistent link: https://www.econbiz.de/10010698221
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation
Memmel, Christoph; Wehn, Carsten - 2005
The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this … paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio … portfolio. We assume a reduced-form model and neglect the effects of a potential bankruptcy of one of the banks. We analyze …
Persistent link: https://www.econbiz.de/10010295895
Cover Image
Portfolio performance evaluation in Mean-CVaR framework: A comparison with non-parametric methods value at risk in Mean-VaR analysis
Banihashemi, Shokoofeh; Navidi, Sarah - In: Operations Research Perspectives 4 (2017), pp. 21-28
As we know, there is a belief in the finance literature that Value at Risk (VaR) and Conditional Value at Risk (CVaR) are new approaches to manage and control the risk. Regard to, value at risk is not a coherent risk measure and it is not sub-additive and convex, so, we have considered...
Persistent link: https://www.econbiz.de/10011825936
Cover Image
Überwachung von Marktpreisrisiken durch Value at Risk
Rau-Bredow, Hans - 2001
Der Value at Risk Ansatz wurde Anfang der neunziger Jahre von amerikanischen Investmentbanken zur Kontrolle von Finanzmarktrisiken entwickelt. Unter anderem wegen des Einsatzes von Derivaten und anderer Finanzinnovationen wurde es zunehmend schwieriger, die Risiken größerer, komplex...
Persistent link: https://www.econbiz.de/10005840852
Cover Image
Value at Risk, Normalverteilungshypothese und Extremwertverhalten
Rau-Bredow, Hans - 2002
Normalverteilungshypothese einfach als ein bestimmtes Vielfaches der Portfolio-Standardabweichung gegeben ist. In diesem Fall ergeben sich außer …
Persistent link: https://www.econbiz.de/10005843088