DocumentCode
684314
Title
Credibilistic conditional value at risk under fuzzy environment
Author
Li Li ; Jingpeng Li ; Quande Qin ; Shi Cheng
Author_Institution
Shenzhen Univ., Shenzhen, China
fYear
2013
fDate
19-21 Oct. 2013
Firstpage
350
Lastpage
353
Abstract
Conditional value at risk (CVaR) is a widely used risk assessment technique. This paper proposes a new CVaR called credibilistic CVaR, which extend the tradition CVaR to fuzzy environment. The theoretical properties of credibilistic CVaR are given in this paper. Finally, trianguilar, trapezoidal and normal fuzzy variables are used to illustrate the applicability and feasibility of credibilistic CVaR.
Keywords
finance; fuzzy set theory; risk management; credibilistic CVaR; credibilistic conditional value at risk; fuzzy environment; normal fuzzy variable; risk assessment technique; trapezoidal variable; trianguilar variable; Radio access networks; Reactive power;
fLanguage
English
Publisher
ieee
Conference_Titel
Advanced Computational Intelligence (ICACI), 2013 Sixth International Conference on
Conference_Location
Hangzhou
Print_ISBN
978-1-4673-6341-9
Type
conf
DOI
10.1109/ICACI.2013.6748529
Filename
6748529
Link To Document