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Value at risk methodology under soft conditions approach (fuzzy-stochastic approach)

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  • Zmeskal, Zdenek

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  • Zmeskal, Zdenek, 2005. "Value at risk methodology under soft conditions approach (fuzzy-stochastic approach)," European Journal of Operational Research, Elsevier, vol. 161(2), pages 337-347, March.
    • Handle: RePEc:eee:ejores:v:161:y:2005:i:2:p:337-347
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    References listed on IDEAS

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    1. J. M. Keynes, 1937. "The General Theory of Employment," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 51(2), pages 209-223.
    2. Zmeskal, Zdenek, 2001. "Application of the fuzzy-stochastic methodology to appraising the firm value as a European call option," European Journal of Operational Research, Elsevier, vol. 135(2), pages 303-310, December.
    3. Young, Virginia R. & Zariphopoulou, Thaleia, 2000. "Computation of distorted probabilities for diffusion processes via stochastic control methods," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 1-18, August.
    4. Rosaria Simonelli, Maria, 2001. "Fuzziness in valuing financial instruments by certainty equivalents," European Journal of Operational Research, Elsevier, vol. 135(2), pages 296-302, December.
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    Cited by:

    1. Luhandjula, M.K. & Joubert, J.W., 2010. "On some optimisation models in a fuzzy-stochastic environment," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1433-1441, December.
    2. Loschi, R.H. & Iglesias, P.L. & Arellano-Valle, R.B. & Cruz, F.R.B., 2007. "Full predictivistic modeling of stock market data: Application to change point problems," European Journal of Operational Research, Elsevier, vol. 180(1), pages 282-291, July.
    3. Zmeskal, Zdenek, 2010. "Generalised soft binomial American real option pricing model (fuzzy-stochastic approach)," European Journal of Operational Research, Elsevier, vol. 207(2), pages 1096-1103, December.
    4. Katagiri, Hideki & Sakawa, Masatoshi & Kato, Kosuke & Nishizaki, Ichiro, 2008. "Interactive multiobjective fuzzy random linear programming: Maximization of possibility and probability," European Journal of Operational Research, Elsevier, vol. 188(2), pages 530-539, July.
    5. Van Hop, Nguyen, 2007. "Fuzzy stochastic goal programming problems," European Journal of Operational Research, Elsevier, vol. 176(1), pages 77-86, January.
    6. R. J. Almeida & U. Kaymak, 2009. "Probabilistic fuzzy systems in value‐at‐risk estimation," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 16(1‐2), pages 49-70, January.
    7. Koissi, Marie-Claire & Shapiro, Arnold F., 2006. "Fuzzy formulation of the Lee-Carter model for mortality forecasting," Insurance: Mathematics and Economics, Elsevier, vol. 39(3), pages 287-309, December.
    8. Kaijian He & Kin Keung Lai & Guocheng Xiang, 2012. "Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach," Energies, MDPI, vol. 5(4), pages 1-26, April.
    9. Li, Jun & Xu, Jiuping, 2009. "A novel portfolio selection model in a hybrid uncertain environment," Omega, Elsevier, vol. 37(2), pages 439-449, April.
    10. He, Kaijian & Wang, Lijun & Zou, Yingchao & Lai, Kin Keung, 2014. "Value at risk estimation with entropy-based wavelet analysis in exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 408(C), pages 62-71.
    11. de Andrés-Sánchez, Jorge & González-Vila Puchades, Laura, 2017. "The valuation of life contingencies: A symmetrical triangular fuzzy approximation," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 83-94.

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