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 一致性风险度量
 coherent risk measure
 A New Dynamic Coherent Risk Measure DCVaR 一种新的动态一致性风险度量DCVaR 短句来源
 coherent risk measurement
 Finally, this paper takes the investment period as the point of division, via coherent standard of risk measurement, and presents a new dynamic coherent risk measurement DCVaR, and gives a discussion of it. 最后以投资期限的划分为分界点,以风险度量的一致性为纽带,提出了一种新的动态一致性风险度量方法DCVaR,并对一致性风险度量DCVaR进行了分析。 短句来源 introduces the coherent risk measurement; 介绍了一致性风险度量和常用的金融市场风险度量; 短句来源 For these problems, proceed from the theory of coherent risk measurement, we put forward a new technique of risk measure—Cohesive Value at Risk—to measure credit risk of portfolio, on which we build portfolio optimization model of Cohesive Value at Risk and select the optimal portfolio with linear programming. 针对这些问题,我们从一致性风险度量理论出发,提出了一种新的风险度量技术———一致性风险价值———来度量投资组合的信用风险,在此基础上建立了一致性风险价值的投资组合优化模型,并运用线性规划技术进行组合优化. 短句来源
 coherent risk measures
 Dynamic Coherent Risk Measures 动态一致性风险度量 短句来源 Based on the Spectral Measures of Risk(M)-a new approach of coherent risk measures introduced by Acerbi(2002),this paper discusses some properties of Spectral Measures of Risk and one especial cases of this kind of risk,principally studies the Mean-M efficient frontier of portfolio and examines the economic implications under the assumption of normality of risk securities. 本文基于由Carlo Acerbi(2002)提出的一类一致性风险度量—谱风险测度M,给出了谱风险测度的一些性质及构造谱密度的一种具体形式; 短句来源
 coherent measure of risk
 Coherent Measure of Risk on Options and Futures 面向期权期货的一致性风险度量 Value-at-Risk(VaR) method advocated in recent years by many financial institutions is an international mainstream technique to measure and monitor finance risk. But the method will be unfillable to coherent measure of risk and lead to non-fullness tail loss measure when portfolio return-loss distributions are not "normally" distributions. 风险价值(VaR)是近年来国际金融机构所倡导的测度和控制金融风险的国际主流技术,但是它在投资组合损益服从非正态分布的情形时,不满足一致性风险度量,出现尾部损失测量的非充分性。 短句来源

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 coherent risk measure
 We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzner et al. As examples we discuss a new approach to measure the risk of an insurance company and a coherent risk measure for unbounded càdlàg processes induced by a so called m-stable set. As examples we discuss a new approach to measure the risk of an insurance company and a coherent risk measure for unbounded càdlàg processes induced by a so called m-stable set. The paper deals with the study of a coherent risk measure, which we call Weighted V@R. Starting with a time-0 coherent risk measure defined for "value processes", we also define risk measurement processes. 更多
 coherent risk measures
 Despite the incompleteness of the market we quantify the value of this operational flexibility in the framework of coherent risk measures. Exact cooperative games or non-additive measures, coherent lower previsions and coherent risk measures are mathematically essentially the same. The relation between coherent risk measures, valuation bounds, and certain classes of portfolio optimization problems is established. One of the key results is that coherent risk measures are essentially equivalent to generalized arbitrage bounds, named "good deal bounds" by Cerny and Hodges (1999). We define (d,n)-coherent risk measures as set-valued maps from $L^\infty_d$ into $\mathbb{R}^n$ satisfying some axioms. 更多
 coherent measure of risk
 A coherent measure of risk should be convex and satisfy the three key properties of the V @R.
其他
 This paper takes the investment period as the point of division, two types of financial risk measurement including static and dynamic are given clearly. The coherence between two methods is analyzed and verified via coherent standard of risk measurement. Finally, based on the Choquet integral of distortion probability, the characterization of dynamic coherent measures is discussed. It provides theoretical evidence for the methods of different transaction dates risk measurement in empirical application. It is... This paper takes the investment period as the point of division, two types of financial risk measurement including static and dynamic are given clearly. The coherence between two methods is analyzed and verified via coherent standard of risk measurement. Finally, based on the Choquet integral of distortion probability, the characterization of dynamic coherent measures is discussed. It provides theoretical evidence for the methods of different transaction dates risk measurement in empirical application. It is very important to long portfolio. 以投资期限的划分为分界点 ,提出了静态和动态两种类型的金融风险度量方法。以风险度量的一致性标准为纽带 ,分析和证明了动态风险度量的一致性。最后 ,对一般概率通过函数变换 ,应用 Choquet积分思想 ,对动态一致性风险度量的特征进行了探讨 ,指出它在实际应用中为多期风险度量方法提供的理论依据 ,对长期组合投资具有重要的现实指导意义。 This paper takes the investment period as the point of division, via coherent standard of risk measurement, presents a new dynamic coherent risk measure DCVaR,and gives a discussion of CVaR. It provides theoretical evidence for the methods of different transaction dates risk measurement in empirical application. It is very important to long portfolio. 文章以投资期限的划分为分界点,以风险度量的一致性为纽带,提出了一种新的动态一致性风险度量方法DCVaR。并对一致性风险度量CVaR进行了分析,在实际应用中为多期风险度量方法提供了理论依据,对长期组合投资具有重要的现实指导意义。 In the security market, return-loss distribution exist the severe phenomenon of excess kurtosis and heavy tail; meanwhile,method of Value at Risk itself cannot correspond with subadditivity, all of which make local optimal not be the whole optimal when selecting the optimal portfolio. For these problems, proceed from the theory of coherent risk measurement, we put forward a new technique of risk measure—Cohesive Value at Risk—to measure credit risk of portfolio, on which we build portfolio optimization model... In the security market, return-loss distribution exist the severe phenomenon of excess kurtosis and heavy tail; meanwhile,method of Value at Risk itself cannot correspond with subadditivity, all of which make local optimal not be the whole optimal when selecting the optimal portfolio. For these problems, proceed from the theory of coherent risk measurement, we put forward a new technique of risk measure—Cohesive Value at Risk—to measure credit risk of portfolio, on which we build portfolio optimization model of Cohesive Value at Risk and select the optimal portfolio with linear programming. Lastly, by emperical studies, we find the fact that final result by selecting the optimal portfolio based on optimal model of Cohesive Value at Risk is better than that of on optimal model of Value at Risk. 证券市场上收益率分布存在严重的偏峰厚尾现象;同时风险价值方法本身不符合次可加性,这使得进行组合优化时它的局部最优解并非全局最优.针对这些问题,我们从一致性风险度量理论出发,提出了一种新的风险度量技术———一致性风险价值———来度量投资组合的信用风险,在此基础上建立了一致性风险价值的投资组合优化模型,并运用线性规划技术进行组合优化.最后我们通过实证研究,发现运用基于一致性风险价值的优化模型进行投资组合的结果,优于运用基于风险价值的优化模型. << 更多相关文摘
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