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Sample average approximation of CVaR-based hedging problem with a deep-learning solution 期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2021, 卷号: 56, 页码: 14
作者:  Peng, Cheng;  Li, Shuang;  Zhao, Yanlong;  Bao, Ying
收藏  |  浏览/下载：160/0  |  提交时间：2021/04/26
Conditional Value-at-Risk  Hedging strategies  Deep learning  Theoretical guarantee  Sample average approximation  Uniform convergence  
Portfolio selection under different attitudes in fuzzy environment 期刊论文
INFORMATION SCIENCES, 2018, 卷号: 462, 页码: 278-289
作者:  Zhou, Xiaoyang;  Wang, Jue;  Yang, Xiangping;  Lev, Benjamin;  Tu, Yan;  Wang, Shouyang
收藏  |  浏览/下载：214/0  |  提交时间：2018/10/07
Portfolio selection  Conservative-neutral-aggressive attitude  Fuzzy variable  Value at risk, epsilon-constraint method  
Robust two-stage stochastic linear optimization with risk aversion 期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2017, 卷号: 256, 期号: 1, 页码: 215-229
作者:  Ling, Aifan;  Sun, Jie;  Xiu, Naihua;  Yang, Xiaoguang
收藏  |  浏览/下载：141/0  |  提交时间：2018/07/30
Uncertainty modeling  Stochastic programming  Robust optimization  Conditional value-at-risk  Semidefinite programming  
Robust Novelty Detection via Worst Case CVaR Minimization 期刊论文
IEEE TRANSACTIONS ON NEURAL NETWORKS AND LEARNING SYSTEMS, 2015, 卷号: 26, 期号: 9, 页码: 2098-2110
作者:  Wang, Yongqiao;  Dang, Chuangyin;  Wang, Shouyang
收藏  |  浏览/下载：137/0  |  提交时间：2018/07/30
Conditional value-at-risk (CVaR)  kernel methods  novelty detection  robust programming  single-class support vector machine (SSVM)  
Measuring financial risk with generalized asymmetric least squares regression 期刊论文
APPLIED SOFT COMPUTING, 2011, 卷号: 11, 期号: 8, 页码: 5793-5800
作者:  Wang, Yongqiao;  Wang, Shouyang;  Lai, K. K.
收藏  |  浏览/下载：122/0  |  提交时间：2018/07/30
Risk measurement  Value-at-risk  Expected shortfall  Kernel trick  Asymmetric least squares regression  
Impact of risk aversion on optimal decisions in supply contracts 期刊论文
INTERNATIONAL JOURNAL OF PRODUCTION ECONOMICS, 2010, 卷号: 128, 期号: 2, 页码: 569-576
作者:  Wu, Jun;  Wang, Shouyang;  Chao, Xiuli;  Ng, C. T.;  Cheng, T. C. E.
收藏  |  浏览/下载：122/0  |  提交时间：2018/07/30
Supply chain management  Risk analysis  Conditional value-at-risk  
Deviation inequalities for an estimator of the conditional value-at-risk 期刊论文
OPERATIONS RESEARCH LETTERS, 2010, 卷号: 38, 期号: 3, 页码: 236-239
作者:  Wang, Ying;  Gao, Fuqing
收藏  |  浏览/下载：112/0  |  提交时间：2018/07/30
Conditional value-at-risk  Deviation inequality  Estimator  
Granger causality in risk and detection of extreme risk spillover between financial markets 期刊论文
JOURNAL OF ECONOMETRICS, 2009, 卷号: 150, 期号: 2, 页码: 271-287
作者:  Hong, Yongmiao;  Liu, Yanhui;  Wang, Shouyang
收藏  |  浏览/下载：142/0  |  提交时间：2018/07/30
Cross-spectrum  Extreme downside risk  Financial contagion  Granger causality in risk  Nonlinear time series  Risk management  Value at Risk  
SUPPLY CHAIN COORDINATION WITH CVaR CRITERION 期刊论文
ASIA-PACIFIC JOURNAL OF OPERATIONAL RESEARCH, 2009, 卷号: 26, 期号: 1, 页码: 135-160
作者:  Yang, Lei;  Xu, Minghui;  Yu, Gang;  Zhang, Hanqin
收藏  |  浏览/下载：135/0  |  提交时间：2018/07/30
Supply chain coordination  newsvendor model  risk-aversion  supply contract  conditional value-at-risk  
Risk analysis of a pay to delay capacity reservation contract 期刊论文
OPTIMIZATION METHODS & SOFTWARE, 2006, 卷号: 21, 期号: 4, 页码: 635-651
作者:  Wu, J;  Yue, WY;  Yamamoto, Y;  Wang, SY
收藏  |  浏览/下载：111/0  |  提交时间：2018/07/30
supply chain contract  optimization  risk analysis  conditional value-at-risk