investors use different approaches to select optimal portfolio. so, optimal investment choices according to return can be interpreted in different models. the traditional approach to allocate portfolio selection called a mean - variance explains. another approach is markov chain. markov chain is a random process without memory. this means that the conditional probability distribution of the nex...

We propose a new class of extreme-value copulas which are limits conditional normal models. Conditional models generalizations independence models, where the dependence among observed variables is modeled using one unobserved factor. on this factor, distribution these given by Gaussian copula. This structure allows to build flexible and parsimonious for data with complex structures, such as spa...

The conditional mean value has applications in regression analysis and financial mathematics, because they are used it. We can find papers from recent years that use the fuzzy cases. As intuitionstic sets an extension of sets, we will try to define a for intuitionistic case. crisp events was first studied by V. Valenčáková 2009. She Gödel connectives. Her approach only be special cases events, ...

We suggest a new methodology to overcome several well-known deeciencies of Value at Risk computations. Our approach mainly addresses two aspects of Value at Risk: rst, to avoid potentially disastrous clustering in predicted tail events we derive a new approach to accurately estimating the conditional distribution of asset returns using maximum entropy densities. Second, by the very nature of th...

in today’s competitive business environment, the design and management of supply chainnetwork is one of the most important challenges that managers encounter. the supply chain network shouldbe designed for satisfying of customer demands as well as minizing the total system costs. this paper presentsa multi-period multi-stage supply chain network design problem under demand uncertainty. the prob...