𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Credibilistic value and average value at risk in fuzzy risk analysis

✍ Scribed by Jin Peng


Book ID
107662569
Publisher
Informa UK (Taylor & Francis)
Year
2011
Tongue
English
Weight
110 KB
Volume
3
Category
Article
ISSN
1616-8658

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Hedging and value at risk
✍ Richard D. F. Harris; Jian Shen πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 138 KB

## Abstract In this article, it is shown that although minimum‐variance hedging unambiguously reduces the standard deviation of portfolio returns, it can increase both left skewness and kurtosis; consequently the effectiveness of hedging in terms of value at risk (VaR) and conditional value at risk

Risk factor beta conditional value-at-ri
✍ Andrei Semenov πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 101 KB

## Abstract We propose a new approach to the estimation of the portfolio Value‐at‐Risk. Based on the assumption that the same macroeconomic factors affect returns of all assets in a portfolio, this methodology allows the generation of the sequence of hypothetical future equilibrium portfolio return

Energy risk management and value at risk
✍ Mehdi Sadeghi; Saeed Shavvalpour πŸ“‚ Article πŸ“… 2006 πŸ› Elsevier Science 🌐 English βš– 197 KB

The value of energy trades can change over time with market conditions and underlying price variables. The rise of competition and deregulation in energy markets has led to relatively free energy markets that are characterized by high price shifts. Within oil markets the volatile oil price environme