A type of value-at-risk (VaR) that measures the risk associated with a risky asset with an interval-valued return. At the core of this interval-valued risk measure is the so-called random interval that describes uncertainty with both randomness and imprecision. Given the pervasive market uncertainty, random intervals are employed to outline the returns of a risky asset.
This website uses cookies so that we can provide you with the best user experience possible. Cookie information is stored in your browser and performs functions such as recognising you when you return to our website and helping our team to understand which sections of the website you find most interesting and useful.
Comments