This work aims at comparing two models of fuzzy distribution: Normal and Laplace, whenever they are inside the context of possibilistic mean-variance model described by Li et al. in [6], where fuzzy Normal distribution is used. We propose to make a comparison using their model, but instead we apply fuzzy Laplace distribution. We also demonstrate the theorems which are necessary for the inclusio...

The fund manager always pronounces “the high returns from hedge fund are along with low risk. Is the performance of hedge fund manager really good? In this study, the market-timing ability and performance consistency on hedge fund manager are tested. The Sharpe ratio was employed to implement the consistency of performance for mutual fund in the previous literature. Due to the non-normally dist...

JEL classification: C51 C52 G11

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This paper focuses on two main issues that are based on two important concepts: exponential Levy process and minimal entropy martingale measure. First, we intend to obtain   risk measurement such as value-at-risk (VaR) and conditional value-at-risk (CvaR) using Monte-Carlo methodunder minimal entropy martingale measure (MEMM) for exponential Levy process. This Martingale measure is used for the...

Abstract Conditional value-at-risk (CVaR) and conditional expected shortfall (CES) are widely adopted risk measures which help monitor potential tail while adapting to evolving market information. In this paper, we propose an approach constructing simultaneous confidence bands (SCBs) for as measured by CVaR CES, with the uniformly valid a set of levels. We consider one-sided (downside or upside...

It is widely accepted to use conditional value-at-risk for risk management needs and option pricing. As a rule, there are difficulties in exact calculations of value-at-risk. In the paper, we methodology price spread options, extending some approximation approaches these needs. Our results illustrate by numerical which demonstrate their effectiveness. We also show how pricing can help with regu...