1) Conditional Value-at-Risk
条件风险值
1.
The paper proposed a two-echelon optimal ordering model for multi-products with Conditional Value-at-Risk(CVaR) which is used popularly in the field of financial engineering.
借鉴金融工程领域广泛应用的条件风险值法,以及基于布朗运动的贝叶斯预测方法,建立两阶段多产品订货风险决策模型,用数值分析对模型进行了检验,发现它基本反映了真实的决策过程和决策者心理。
2) conditional value at risk(CVaR)
条件风险值
1.
Under the assumption that the yield series is a strictly stationary process,we present an equation satisfied by value at risk(VaR) at time t given historical data and an analytic formula for conditional value at risk(CVaR).
该文在损益变化为一个严平稳过程的假设下,采用非参数方法给出了在已知t时刻之前的历史损益时,t时刻风险值估计所应满足的方程,以及条件风险值估计的解析表达式。
3) conditional value at risk(CVaR)
条件风险价值
1.
A optimal portfolio decision-making flow for power producer is proposed using the modern investment theory,which takes the conditional value at risk(CVaR)as the risk measurement index and aims at both maximum avail and minimum risk value.
借鉴现代证券投资理论,以条件风险价值为风险计量指标,以效用最大化和风险最小化建模,提出了一个发电公司最优投资组合的决策流程,对发电公司在日前市场、无风险长期合同市场、期货市场总电量的最优分配比例进行了计算。
2.
This paper proposes a novel conditional value at risk(CVaR) method based on the quantile,and minimizes the weighted sum of the absolute deviation of each CVaR to build a mathematical model.
提出了一种基于分位数的条件风险价值(CVaR)方法,以各期CVaR的绝对偏差加权和最小为目标函数建立数学模型,针对水电在上网竞价过程中面临的电价、来水、需求等各类营销风险,在蒙特卡罗模拟条件下,给出相应的发电收益率表达式,对模型进行扩展。
3.
Taking the conditional value at risk(CVaR) as a risk measurement index and the allocated generation-rights a riskless asset,a combined bidding model,was built with CVaR constrained condition,to maximize the expected revenue rate.
为了研究电力市场环境下发电量在发电权交易市场中的分配比例问题,以条件风险价值(CVaR)为风险计量指标,把发电权交易市场分配的电量作为一种无风险资产,建立了带有CVaR约束的期望收益最大化的投标组合模型,讨论发电商的单期发电权交易量分配策略。
4) conditional value at risk (CVaR)
条件风险价值
1.
In terms of a new risk index based on conditional value at risk (CVaR) as the measuring index for market risk, a purchasing model based on portfolio theory is presented, in which the object function is to minimize the portfolio loss among day-ahead market, forward contract market and options market.
基于投资组合理论,引入条件风险价值作为风险测量因子,以最小化损失为目标,建立了供电公司在日前现货市场、远期合同市场和金融期权市场间购电的决策模型,重点考虑金融市场中期权交易对购电组合的影响。
2.
Using the risk management theory in financial research field for reference, taking the conditional value at risk (CVaR) as risk measurement index, a novel Mean-CVaR optimal combined bidding model is built by considering the r.
借鉴金融领域风险管理的理论,以条件风险价值(CVaR)为风险计量指标,综合考虑风险和期望收益率,建立了新的发电商均值-CVaR投标组合优化模型。
5) CVaR
条件风险价值
1.
A Calculation of VaR and CVaR Based on ARMA-GARCH Model
基于ARMA-GARCH模型的风险价值与条件风险价值计算
2.
Based on the risk management theory, two risk assessment techniques—value at risk(VaR) and conditional value at risk(CVaR) are used as risk measurement index for generation companies in the paper ,and two modes are established fo.
借鉴金融学的风险管理理论,采用风险价值(VaR)和条件风险价值(CVaR)作风险度量指标,建立了Pool模式和Bilateral模式下发电商的收益模型,并通过VaR、CVaR值的计算分析了不同报价策略下发电商的风险。
3.
With the use of Monte Carlo simulation technology,the minimum conditional value at risk(CVaR) of the different confidence level and the composition of assets related are also analyzed.
根据Copula函数在构建反映随机变量实际分布与相关性的联合分布函数上的优势,构建了反映多个资产收益实际分布和相关性的联合分布函数,并使用蒙特卡罗模拟技术,分析在不同置信度下投资组合的最小条件风险价值(CVaR)。
6) conditional value at risk
条件风险价值
1.
Application of conditional value at risk measurement in bank s optimal portfolio;
条件风险价值度量方法在银行投资组合优化中的应用
2.
With conditional value at risk(CVaR)as a measuring index for market risk,a purchasing model for distribution companies(Discos)among several sub-markets is presented,in which the object function is to maximize the expected benefit of Discos.
引入条件风险价值(conditional value at risk,CVaR)作为市场风险的度量因子,建立了以最大化期望收益为目标的配电商多市场购电决策模型,分析了期权和可中断负荷(interruptible load,IL)对购电组合的影响。
补充资料：在风险条件下的决策
说明：补充资料仅用于学习参考，请勿用于其它任何用途。
参考词条