VaR metodologie mezinárodního indexového portfolia za soft podmínek

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F05%3A00011858" target="_blank" >RIV/61989100:27510/05:00011858 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

The approach to modelling uncertainty of the international index portfolio by the value at risk (VAR) methodology under soft conditions by fuzzy-stochastic methodology is described in the paper. The generalised term uncertainty is understood to have twoaspects: risk modelled by probability (stochastic methodology) and vagueness sometimes called impreciseness, ambiguity, softness is modelled by fuzzy methodology. Thus, hybrid model is called fuzzy-stochastic model. Input data for a stochastic model areunique distribution functions and crisp (real) data. Input data for fuzzy model are fuzzy numbers and crisp (real) data. Input data for hybrid model are fuzzy probability distribution functions, unique distribution functions, and crisp (real) data. Softly defined VAR model is constructed as hybrid model because it is supposed that the input data are difficult to determine as crisp numbers or as some unique distribution functions. Risk is modelled by stochastic methodology on the VAR basi

Název v anglickém jazyce

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

Popis výsledku anglicky

The approach to modelling uncertainty of the international index portfolio by the value at risk (VAR) methodology under soft conditions by fuzzy-stochastic methodology is described in the paper. The generalised term uncertainty is understood to have twoaspects: risk modelled by probability (stochastic methodology) and vagueness sometimes called impreciseness, ambiguity, softness is modelled by fuzzy methodology. Thus, hybrid model is called fuzzy-stochastic model. Input data for a stochastic model areunique distribution functions and crisp (real) data. Input data for fuzzy model are fuzzy numbers and crisp (real) data. Input data for hybrid model are fuzzy probability distribution functions, unique distribution functions, and crisp (real) data. Softly defined VAR model is constructed as hybrid model because it is supposed that the input data are difficult to determine as crisp numbers or as some unique distribution functions. Risk is modelled by stochastic methodology on the VAR basi

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA402%2F02%2F1046" target="_blank" >GA402/02/1046: Aplikace fuzzy-stochastických přístupů ve finančním rozhodování</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2005

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

International Review of Financial Analysis

ISSN

1057-5219

e-ISSN

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Svazek periodika

14

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

13

Strana od-do

263-275

Kód UT WoS článku

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EID výsledku v databázi Scopus

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