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Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options 期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 卷号: 62, 页码: 19
Authors:  Shi, Ruoshi;  Zhao, Yanlong;  Bao, Ying;  Peng, Cheng
Favorite  |  View/Download:68/0  |  Submit date:2023/02/07
Counterparty credit exposure  VaR  CVaR  Sensitivity  Greeks  
Optimal trade-off of integrated river basin water resources allocation considering water market: A bi-level multi-objective model with conditional value-at-risk constraints 期刊论文
COMPUTERS & INDUSTRIAL ENGINEERING, 2022, 卷号: 169, 页码: 17
Authors:  Tu, Yan;  Shi, Hongwei;  Zhou, Xiaoyang;  Lev, Benjamin
Favorite  |  View/Download:53/0  |  Submit date:2023/02/07
Integrated water resources management  River basin water resources allocation  CVaR  Water market  Bi-level multi-objective programming  
Multi-period portfolio selection with investor views based on scenario tree 期刊论文
APPLIED MATHEMATICS AND COMPUTATION, 2022, 卷号: 418, 页码: 14
Authors:  Zhao, Daping;  Bai, Lin;  Fang, Yong;  Wang, Shouyang
Favorite  |  View/Download:115/0  |  Submit date:2022/06/21
Portfolio selection  Multi-period  Investor views  Scenario tree  Optimization  
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
Authors:  Peng, Cheng;  Li, Shuang;  Zhao, Yanlong;  Bao, Ying
Favorite  |  View/Download:132/0  |  Submit date:2021/04/26
Conditional Value-at-Risk  Hedging strategies  Deep learning  Theoretical guarantee  Sample average approximation  Uniform convergence  
基于投资者观点的多阶段投资组合选择模型 期刊论文
系统工程理论与实践, 2017, 卷号: 37, 期号: 8, 页码: 2024
Authors:  柏林;  赵大萍;  房勇;  汪寿阳
Favorite  |  View/Download:111/0  |  Submit date:2020/01/10
A quantitative description of complex adaptive system: The self-adaptive mechanism of the material purchasing management system towards the changing environment 期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2016, 卷号: 29, 期号: 1, 页码: 151-170
Authors:  Zhang Meng;  Cui Jinchuan
Favorite  |  View/Download:117/0  |  Submit date:2018/07/30
Complex adaptive system (CAS)  CVaR  material purchasing management system (MPMS)  modern portfolio theory (MPT)  self-adaptive mechanism  
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
Authors:  Wang, Yongqiao;  Dang, Chuangyin;  Wang, Shouyang
Favorite  |  View/Download:114/0  |  Submit date:2018/07/30
Conditional value-at-risk (CVaR)  kernel methods  novelty detection  robust programming  single-class support vector machine (SSVM)  
基于混合cvar的供应链回购策略优化与协调研究 期刊论文
系统科学与数学, 2015, 卷号: 35, 期号: 11, 页码: 1304
Authors:  王莹莉
Favorite  |  View/Download:100/0  |  Submit date:2020/01/10
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
Authors:  Yang, Lei;  Xu, Minghui;  Yu, Gang;  Zhang, Hanqin
Favorite  |  View/Download:115/0  |  Submit date:2018/07/30
Supply chain coordination  newsvendor model  risk-aversion  supply contract  conditional value-at-risk  
带有市场搜索的供应链最优策略的分析与比较 期刊论文
系统工程理论与实践, 2009, 卷号: 000, 期号: 010, 页码: 53
Authors:  张汉勤;  于刚;  李建斌
Favorite  |  View/Download:133/0  |  Submit date:2020/01/10