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Value at risk methodology of international index portfolio under soft conditions (fuzzy-stochastic approach)

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  • Zmeskal, Zdenek

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  • Zmeskal, Zdenek, 2005. "Value at risk methodology of international index portfolio under soft conditions (fuzzy-stochastic approach)," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 263-275.
    • Handle: RePEc:eee:finana:v:14:y:2005:i:2:p:263-275
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    References listed on IDEAS

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    1. Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000. "Sensitivity analysis of Values at Risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 225-245, November.
    2. 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.
    3. Wu, Hsien-Chung, 2003. "The fuzzy estimators of fuzzy parameters based on fuzzy random variables," European Journal of Operational Research, Elsevier, vol. 146(1), pages 101-114, April.
    4. Moosa, Imad A. & Bollen, Bernard, 2002. "A benchmark for measuring bias in estimated daily value at risk," International Review of Financial Analysis, Elsevier, vol. 11(1), pages 85-100.
    5. Jeremy Berkowitz & James O'Brien, 2002. "How Accurate Are Value‐at‐Risk Models at Commercial Banks?," Journal of Finance, American Finance Association, vol. 57(3), pages 1093-1111, June.
    6. 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.
    7. Yoshida, Yuji, 2003. "The valuation of European options in uncertain environment," European Journal of Operational Research, Elsevier, vol. 145(1), pages 221-229, February.
    8. Sakawa, Masatoshi & Kato, Kosuke & Nishizaki, Ichiro, 2003. "An interactive fuzzy satisficing method for multiobjective stochastic linear programming problems through an expectation model," European Journal of Operational Research, Elsevier, vol. 145(3), pages 665-672, March.
    9. Longin, Francois M., 2000. "From value at risk to stress testing: The extreme value approach," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1097-1130, July.
    10. Umberto Cherubini & Giovanni Della Lunga, 2001. "Fuzzy Value-at-risk: Accounting for Market Liquidity," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(2), pages 293-312, July.
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    Cited by:

    1. 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.
    2. Li, Ting & Zhang, Weiguo & Xu, Weijun, 2015. "A fuzzy portfolio selection model with background risk," Applied Mathematics and Computation, Elsevier, vol. 256(C), pages 505-513.
    3. 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.
    4. 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.
    5. 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.

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