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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：67/0  |  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：51/0  |  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  
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：118/0  |  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)  
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：96/0  |  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：92/0  |  提交时间：2018/07/30
Conditional value-at-risk  Deviation inequality  Estimator  
CAViaR-based forecast for oil price risk 期刊论文
ENERGY ECONOMICS, 2009, 卷号: 31, 期号: 4, 页码: 511-518
作者:  Huang, Dashan;  Yu, Baimin;  Fabozzi, Frank J.;  Fukushima, Masao
收藏  |  浏览/下载：95/0  |  提交时间：2018/07/30
VaR  CAViaR  Oil price risk  Mixed data regression  
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：115/0  |  提交时间：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
作者:  张汉勤;  于刚;  李建斌
收藏  |  浏览/下载：132/0  |  提交时间：2020/01/10