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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：70/0  |  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：55/0  |  提交时间：2023/02/07
Integrated water resources management  River basin water resources allocation  CVaR  Water market  Bi-level multi-objective programming  
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
作者:  Zhang Meng;  Cui Jinchuan
收藏  |  浏览/下载：117/0  |  提交时间：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
作者:  Wang, Yongqiao;  Dang, Chuangyin;  Wang, Shouyang
收藏  |  浏览/下载：116/0  |  提交时间：2018/07/30
Conditional value-at-risk (CVaR)  kernel methods  novelty detection  robust programming  single-class support vector machine (SSVM)