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 一致性风险测度 在 金融 分类中 的翻译结果: 查询用时：1.994秒
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 一致性风险测度
 coherent risk measures
 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。
 coherent risk measures
 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。

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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. 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
其他
 >=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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