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风险测度     
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  risk measurement
    The Study of Macroscopic Finance Risk Measurement System
    我国宏观金融风险测度研究
短句来源
    Esscher-transformation and financial risk measurement techniques
    Esscher-变换与风险测度技术
短句来源
    Study on the Techniques of Financial Risk Measurement in the Situation of Small Sample
    小样本下的金融风险测度的技术研究
短句来源
    Comparison of Effect of Risk Measurement of A and B Share Based on EVT
    基于EVT的上证A股和B股风险测度效果比较
短句来源
    Risk Measurement Model of Spare Supplying Management in Nuclear Power Station
    核电站备件供应风险测度模型研究
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  risk measure
    Structure sharpe ratio based coherent risk measure
    基于相容风险测度的结构夏普比率
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    Comparative Analysis on Risk Measure Methods in Modern Portfolio Investment Theory
    现代投资组合理论中风险测度方法的比较分析
短句来源
    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
    Research on Portfolio Investment Model Under the E-Sh Risk Measure
    有关风险测度及组合证券投资模型研究
短句来源
    On the basis of modern finance development, the situation of financial mathematics study have been explained. Especially, together with our study in optimal consumption/investment, option pricing, dynamic risk measure etc.
    以现代金融学的发展为背景,本文首先阐述了近年来金融数学的研究现状,尤其对最优消费投资模型、期权定价和动态风险测度等作了较详尽的描述,其中结合了我们近年来在这几个方向上的研究工作。
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  risk measures
    Coherent Risk Measures Monotonically with Generalized Stochastic Dominance and ES~((n))
    广义随机占优单调一致风险测度和ES~((n))——一种新的风险测度概念和指标
短句来源
    Returns Distribution in Financial Markets and EVT Risk Measures
    金融市场的收益分布与EVT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
    Relative Entropy,Distortion Risk Measures and Their Functions in Financial Risk Measurement
    相对熵、畸变风险测度及其金融风险测度的效能
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    Conditional g-expectation and coherent risk measures
    条件g-期望与相关风险测度
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  risks measurement
    In the second part, we introduce Markowitz Investment Theory, E-V Model, E-SV Model and some other important risks measurement. These theories are important parts in modern risks management theories. They are also basis of VaR and CVaR.
    然后,文章用单独的一章介绍了均值-方差模型、均值-半方差模型以及一些具有代表性的风险测度模型和观点,这些既是现代风险管理理论中重要的组成部分,同时也是VaR和CVaR产生的理论根源。
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      risk measurement
    In financial market risk measurement, Value-at-Risk (VaR) techniques have proven to be a very useful and popular tool.
          
    Effective risk management requires adequate risk measurement.
          
    After discussing the state of the art of operational risk measurement, I briefly review the foundations of input-output analysis and explain how to build an input-output model at the business unit level for a financial institution.
          
    The model is then enlarged to allow its use for interest rate risk measurement through a duration vector.
          
    In this paper they are applied to risk measurement, leading to a general definition of convex risk measure which corresponds, when its domain is a linear space, to the one recently introduced in risk measurement literature.
          
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      risk measure
    Risk aversion is quantitatively expressed in terms of representing functionals (risk measure).
          
    For estimation algorithm optimization, we applied a minimax approach with the risk measure in the form of the exceedance probability of the estimate of a prescribed level by an error.
          
    The purpose of the article is to formulate, under the l∞ risk measure, a model of portfolio selection with transaction costs and then investigate the optimal strategy within the proposed.
          
    Finally, we give four axioms that describe necessary attributes of a good financial risk measure and show which of the measures surveyed satisfy these.
          
    In order to perform our study, we exploit the new risk measure known as Value at Risk (VaR) and consider insurance contracts which are Mean-VaR efficient.
          
    更多          
      risk measures
    Study on the interrelation of efficient portfolios and their frontier under t distribution and various risk measures
          
    Under the mean-risk analysis framework, the interrelationship of efficient portfolios (frontier) based on risk measures such as variance, value at risk (VaR), and expected shortfall (ES) is analyzed and compared.
          
    When the insurer and reinsurance company take arbitrary risk measures, sufficient conditions for optimality of reinsurance contract are given within the restricted class of admissible contracts.
          
    Further, the explicit forms of optimal reinsurance contract under several special risk measures are given, and the method to decide parameters as well.
          
    For these systems, effective algorithms for computing probability indexes (risk levels) and loss expectation (risk measures) for undesirable random events (failures, emergencies, etc.) associated with the operation of a system are designed.
          
    更多          


    This paper proposes a new concept of effect risk resulting from the uncertainty and resultant value of the objective. The expressions of effect risk function and effect risk entropy are defined and contructed, and their main mathematical properties ate analysed. It also expounds the reasonability of the effect risk function and effect risk entropy as the effect risk measure of the object state and decision action.

    本文提出由客观状态的不确定性和结果价值两方面因素造成的效用风险的概念,定义并构造效用风险函数和效用风险熵的函数表达式,剖析其主要数学特性,阐明效用风险函数和效用风险熵作为客观状态和决策行动方案的效用风险测度函数的合理性.

    Evaluation System of National risk for Transnationala Investment Project (TIP)plays a significant and practical role both in guiding enterpreses to select a beneficial TIP and in assisting governmental departments to check its feasibility. This paper focused on the study of measurement and quantification of National risk , by using a three-level and thirty-four-factor Country Risk Evaluation System. Applying the score of every factor sdevaluated by experts to the model , we obtain the results which are...

    Evaluation System of National risk for Transnationala Investment Project (TIP)plays a significant and practical role both in guiding enterpreses to select a beneficial TIP and in assisting governmental departments to check its feasibility. This paper focused on the study of measurement and quantification of National risk , by using a three-level and thirty-four-factor Country Risk Evaluation System. Applying the score of every factor sdevaluated by experts to the model , we obtain the results which are primarily consistent with those obtained by several esteemed international institute.

    境外投资项目的国家风险评价系统,对指导企业关于境外投资项目的可行性研究,主管部门的审核都有着十分重要的现实意义.本文运用三个层次涉及34个因素的国家风险评价系统,对国家风险的测度和量化作了有益的研究,以专家对各项因素的打分代入模型,所得的结果.与国际上几家著名机构所得的结果基本一致。

    This paper, based on the basic analysis of drawbacks of Markowitz's portfolio model and portfolio models on the absolute deviation risk measure and E-Sh risk measure, develops a portfolio optimization model based on the new risk measure. The paper also provides methods for determing the optimal portfolio investment weights and portfolio efficient frontier. In addition, the paper presents comparative analysis about these models, and illustrates the effectiveness of our model with a practical example.

    在分析Markowitz组合证券投资模型、绝对离差风险测度模型和E-Sh风险测度模型的基础上,针对上述模型的不足之处,提出了新的风险测度下的组合证券投资最优化模型,给出了计算最优投资权重系数和确定有效边界的方法.并结合案例分析了最优化模型的有效性

     
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