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一致性风险测度
相关语句
  coherent risk measure
     Dissertation investigated the problems of optimal liquidation strategy and Liquidity–Adjusted Expected Shortfall (La-ES) belonging to the coherent risk measure.
     本文研究了一致性风险测度-流动性调整期望损失(Liquidity-Adjusted Expected Shortfall:La-ES)和机构投资者的最优变现策略问题。
短句来源
  coherent risk measures
     In this paper, we study the coherent risk measures.
     一致性风险测度框架作为一种研究风险测度的手段正受到越来越多的关注。
短句来源
     Firstly we analysis the properties of mean-variance model and VaR model, secondly we introduce the coherent risk measures axiom of financial markets and analysis the latest development in this area. The dynamic risk measures are also introduced.
     在分析均值-方差模型和VaR模型的特点及其适用范围的基础上,引入一致性金融风险测度公理,分析了该领域的研究状况,简要介绍了动态一致性风险测度的研究情况。
  “一致性风险测度”译为未确定词的双语例句
     VaR,Expected Shortfall and Measurement of Consistency Risk
     VaR、ES与一致性风险测度
短句来源
     This paper indicates that the translation axiom,which is one of the coherent measures of risk axiom,is not reasonable.
     由于一致性风险测度公理中的平移不变性公理存在不合理性,故可将该该公理从一致性风险测度公理中去掉.
短句来源
     At the same time we compared risk Riskindicators 's of VaR, ES, Variance, discussed between the relations of them, given two kind of computations expressions for expected shortfall under the normal distribution, But regarding under other distributions, the ES computation is very difficult, We produced estimator of ES model based on the extreme value theory.
     由于VaR的缺陷——非一致性风险测量指标,以及VaR关心的是损失的频率,而不是损失的大小,而期望损失ES是指超过VaR的损失的均值,它关心的是损失的大小,而不是损失的频率,更重要的是它是一致性风险测度
短句来源
     First, the concept of risk, risk measures and coherent are introduced.
     本文先介绍了风险、风险测度及一致性风险测度的定义及相关性质;
短句来源
  相似匹配句对
     VaR,Expected Shortfall and Measurement of Consistency Risk
     VaR、ES与一致性风险测度
短句来源
     The Analyse of Financial Risk Measures
     金融风险测度分析
短句来源
     Dynamic Coherent Risk Measures
     动态一致性风险度量
短句来源
     The Risk Measures Based on Seminorm
     基于半范数的风险测度
短句来源
     Then we also briefly discuss the trends of development of models based on the coherent risk measures axiom.
     最后讨论了基于一致性公理的金融风险测度模型的发展前景。
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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.
      
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This paper indicates that the translation axiom,which is one of the coherent measures of risk axiom,is not reasonable.Therefore,the translation axiom should be deleted.On the basis of revision,the risk measure of Fishburn is found being a scientific risk measure.

由于一致性风险测度公理中的平移不变性公理存在不合理性,故可将该该公理从一致性风险测度公理中去掉.将半范数的概念加以扩展,增加单调性要求,则去掉平移不变性公理之后一致性风险测度公理与半范数的要求就完全相同,这样风险度量从本质上讲就是定义在某空间上的半范数.本文发现F ishburn的风险测度是满足正齐次性、次可加性、单调性要求的.从这个意义讲,F ishburn的风险测度是一个比较科学的风险度量方法.

>=We research the development of models of risk measures based on the approaches. Firstly we analysis the properties of mean-variance model and VaR model, secondly we introduce the coherent risk measures axiom of financial markets and analysis the latest development in this area. The dynamic risk measures are also introduced. Then we also briefly discuss the trends of development of models based on the coherent risk measures axiom.

以风险测度方法的演变为主线对风险测度模型的发展进行了研究。在分析均值-方差模型和VaR模型的特点及其适用范围的基础上,引入一致性金融风险测度公理,分析了该领域的研究状况,简要介绍了动态一致性风险测度的研究情况。最后讨论了基于一致性公理的金融风险测度模型的发展前景。

 
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