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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
作者:  Shi, Ruoshi;  Zhao, Yanlong;  Bao, Ying;  Peng, Cheng
收藏  |  浏览/下载：68/0  |  提交时间：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
作者:  Tu, Yan;  Shi, Hongwei;  Zhou, Xiaoyang;  Lev, Benjamin
收藏  |  浏览/下载：53/0  |  提交时间：2023/02/07
Integrated water resources management  River basin water resources allocation  CVaR  Water market  Bi-level multi-objective programming  
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：132/0  |  提交时间：2021/04/26
Conditional Value-at-Risk  Hedging strategies  Deep learning  Theoretical guarantee  Sample average approximation  Uniform convergence  
Dynamics and spreading speed of a reaction-diffusion system with advection modeling West Nile virus 期刊论文
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2021, 卷号: 493, 期号: 1, 页码: 24
作者:  Cheng, Chengcheng;  Zheng, Zuohuan
收藏  |  浏览/下载：165/0  |  提交时间：2021/01/14
West Nile virus  Advection  Free boundary  Basic reproduction number  Vanishing-spreading  Asymptotic spreading speed  
Decision Biases of Strategic Customers with Private Product-Value Information: An Experimental Study 期刊论文
PRODUCTION AND OPERATIONS MANAGEMENT, 2019, 卷号: 28, 期号: 5, 页码: 1305-1319
作者:  Song, Yanan;  Zhao, Xiaobo;  Zhu, Wanshan;  Chen, Yefen
收藏  |  浏览/下载：144/0  |  提交时间：2020/01/10
strategic customer  game  experiment  decision bias  
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：175/0  |  提交时间：2018/10/07
Portfolio selection  Conservative-neutral-aggressive attitude  Fuzzy variable  Value at risk, epsilon-constraint method  
Mean-risk analysis of wholesale price contracts with stochastic price-dependent demand 期刊论文
ANNALS OF OPERATIONS RESEARCH, 2017, 卷号: 257, 期号: 1-2, 页码: 491-518
作者:  Zhao, Yingxue;  Choi, Tsan-Ming;  Cheng, T. C. E.;  Wang, Shouyang
收藏  |  浏览/下载：123/0  |  提交时间：2018/07/30
Supply chain management  Contract risk  Wholesale price contract  Stochastic price-dependent demand  Risk aversion  
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：120/0  |  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：114/0  |  提交时间：2018/07/30
Conditional value-at-risk (CVaR)  kernel methods  novelty detection  robust programming  single-class support vector machine (SSVM)  
基于VaR和ES调整的Sharpe比率及在基金评价中的实证研究 期刊论文
数理统计与管理, 2012, 卷号: 031, 期号: 004, 页码: 735
作者:  刘沛欣;  田军;  周勇
收藏  |  浏览/下载：112/0  |  提交时间：2020/01/10