A dynamic average value-at-risk portfolio model with fuzzy random variables
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Cites work
- A perception-based portfolio under uncertainty: minimization of average rates of falling
- An estimation model of value-at-risk portfolio under uncertainty
- Fuzzy Extension of Estimations with Randomness: The Perception-Based Approach
- Fuzzy random variables
- Fuzzy random variables - I. Definitions and theorems
- scientific article; zbMATH DE number 51121 (Why is no real title available?)
- Overview on the development of fuzzy random variables
- Ranking and defuzzification methods based on area compensation
- Statistics with vague data
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
Cited in
(5)- An estimation model of value-at-risk portfolio under uncertainty
- A fuzzy multifactor asset pricing model
- Dynamic average value-at-risk allocation on worst scenarios in asset management
- Average value at risk in fuzzy risk analysis
- A perception-based portfolio under uncertainty: minimization of average rates of falling
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