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 相容风险测度
 coherent risk measure
 Structure sharpe ratio based coherent risk measure 基于相容风险测度的结构夏普比率 短句来源
 “相容风险测度”译为未确定词的双语例句
 Their researches are mainly mathematical analyses and pay less attention to practical uses. 他们对相容风险测度的研究主要集中在数学理论方面的讨论，而相容风险测度的实际应用案例很少。 短句来源
 相似匹配句对
 Structure sharpe ratio based coherent risk measure 基于相容风险测度的结构夏普比率 短句来源 The Analyse of Financial Risk Measures 金融风险测度分析 短句来源 The Risk Measures Based on Seminorm 基于半范数的风险测度 短句来源 If you do nothing,the risk will come 无为的风险 短句来源 Knowledge Measure 知识测度 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
 Some basic concepts concerning mathematical foundation of financial risk are introdured. They are acaptable set and coherent risk measures. Some risk measures commonly used and their defaults are presented. Extreme value method of VaR and cone programming method of CVaR are discussed. 介绍了测度金融风险的数理基础的基本概念:可行集和相容风险测度,给出了一些常用的风险测度方法和它们的优缺点。讨论了最常用的风险测度VaR的基于极值理论的计算方法和CVaR的凸规划计算方法。 In this article we introduce the new evolvement of financial risk measures We explicate the axiom of coherent risk measures and its economic meaning,and we give three methods of dynamic coherent risk measures Coherent risk measures are very important in investment portfolio , risk management and risk capital allocation We also introduce the relation between coherent capital allocation and coalition game We provides an analysis method of embedding coherent risk measures in general equilibrium frame and directions... In this article we introduce the new evolvement of financial risk measures We explicate the axiom of coherent risk measures and its economic meaning,and we give three methods of dynamic coherent risk measures Coherent risk measures are very important in investment portfolio , risk management and risk capital allocation We also introduce the relation between coherent capital allocation and coalition game We provides an analysis method of embedding coherent risk measures in general equilibrium frame and directions of research 本文介绍了金融风险测度理论的最新进展。我们详细说明了相容风险测度的公理化方法及该方法的经济意义,对动态相容风险测度给出了三种主要方法,并指出这些方法的未来可能应用方向。相容风险测度在投资组合优化中的应用对风险管理实践有较强的指导意义,我们指出了使用该方法与其他方法的区别。使用相容风险测度进行风险资本配置是更加合理的方法,本文介绍了相容资本配置原理与联盟博弈之间的关系,以及在一般均衡框架中嵌入相容风险测度的分析方法和相关结论,并指出进一步的研究方向。 A new interpretation of the Sharpe ratio of coherent risk measurement is shown. The sharpe ratio is extended to: portfolios including risk-free capital and portfolios wholly allocated to risk capital, thus considering the influence of investment structure.The methodology is applied to portlfolios with many assets in an environment where probabilistical results are better than those in current literatures.This method is used to optimize capital allocation and investment performance of agriculture future investments... A new interpretation of the Sharpe ratio of coherent risk measurement is shown. The sharpe ratio is extended to: portfolios including risk-free capital and portfolios wholly allocated to risk capital, thus considering the influence of investment structure.The methodology is applied to portlfolios with many assets in an environment where probabilistical results are better than those in current literatures.This method is used to optimize capital allocation and investment performance of agriculture future investments on the Zhengzhou Commodity Exchange. 在相容风险测度的意义下,对夏普比率给出一个新的结构性解释,在包括无风险资产和纯粹风险资产的投资组合下对夏普比率进行推广,考虑了投资结构对风险的影响,及其在具有多资产组合和一般测度空间背景下的应用.实证分析研究了郑州商品交易所农产品期货投资中最优资产分配和最优投资绩效问题. << 更多相关文摘
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