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

DOI10.1016/j.ejor.2003.08.048zbMath1067.90093OpenAlexW1972849110MaRDI QIDQ1887922

Zdeněk Zmeškal

Publication date: 22 November 2004

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2003.08.048

zbMATH Keywords

Fuzzy setsDecision support systemsFinanceRisk analysisUncertainty modellingBanking

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Theory of fuzzy sets, etc. (03E72)

Related Items (14)

Solving linear programming problems under fuzziness and randomness environment using attainment values ⋮ Operational risk: emerging markets, sectors and measurement ⋮ Application of gray systems and fuzzy sets in combination with real options theory in project portfolio management ⋮ Fuzzy formulation of the Lee-Carter model for mortality forecasting ⋮ Full predictivistic modeling of stock market data: application to change point problems ⋮ Solving fuzzy (stochastic) linear programming problems using superiority and inferiority measures ⋮ On some optimisation models in a fuzzy-stochastic environment ⋮ Individual antecedents of real options appraisal: the role of national culture and ambiguity ⋮ Using fuzzy random variables in life annuities pricing ⋮ Fuzzy stochastic goal programming problems ⋮ The valuation of life contingencies: a symmetrical triangular fuzzy approximation ⋮ Fuzzy stochastic linear programming: survey and future research directions ⋮ Generalised soft binomial American real option pricing model (fuzzy-stochastic approach) ⋮ An estimation model of value-at-risk portfolio under uncertainty

Uses Software

• RiskMetrics

Cites Work

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• Risk, Ambiguity, and the Savage Axioms
• Fuzzy sets
• Soft computing in financial engineering
• Fuzziness in valuing financial instruments by certainty equivalents.
• Application of the fuzzy-stochastic methodolgy to appraising the firm value as a European call option

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