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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。
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  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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  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.
      
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