An estimation model of value-at-risk portfolio under uncertainty

DOI10.1016/j.fss.2009.02.007zbMath1186.91127OpenAlexW2007551252MaRDI QIDQ1043315

Yuji Yoshida

Publication date: 7 December 2009

Published in: Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.fss.2009.02.007

zbMATH Keywords

fuzzy random variablevalue-at-risk (VaR)uncertainty modelingpessimistic-optimistic indexpossibility and necessityrisk-sensitive portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10) Fuzzy probability (60A86)

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