1) worst-case VaR
最坏条件下的风险值
2) worst-case conditional value-at-risk (WCVaR)
最坏情况下条件风险(WCVaR)
3) WCVaR
最坏情景条件风险价值
4) 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。
5) 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。
6) single criterion under risk
风险条件下的单准则
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