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风险测度
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  risk measurement
    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
    Firstly, this thesis introduces the elementary concept and characteristics of unit-linked policy, then defines and analyses the policy's investment risk, showing that it is greatly necessary for the China insurance to manage the investment risk. Furthermore, the thesis put forward a whole process of investment risk management, consisting of investment risk discrimination, investment risk measurement, the treatment of investment risk and the evaluation of investment risk management.
    本文首先从投资连结保险产品的基本概念和主要特点出发,对此产品的投资风险进行了界定和分析,并根据我国投资连结保险的投资风险管理的必要性给出了包括投资风险辨识、投资风险测度、投资风险处理和投资风险管理评估四个部分的投资风险管理的流程。
短句来源
    Secondly, the paper summarizes and evaluates some theories and method of investment risk measurement, such as utility theory, variance theory and Markowitz's mean-variance model, Sharpe's Capital asset pricing model and /? coefficient, downside risk and Harlow model and VaR theory and method.
    然后,本文总结和评价了一些投资风险测度理论,包括效用理论和风险金测度模型、方差理论和Markowitz的均值—方差模型、Sharpe的资本资产定价模型和β系数、下侧风险中的下偏矩理论和Harlow模型以及VaR理论。
短句来源
    This paper has some breakthrough in several aspects: (1) This paper has a systematical research of time series and risk measurement, and gives birth to signals which have actual value with both qualitative and quantitative analysis.
    本文以实证为基础,在以下几个方面进行了研究创新:(1)本文比较系统地进行了中国股市的时序分析和风险测度研究,运用定性和定量分析相结合的研究方法得出了具有实际监控价值的数量信号和标志。
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    Secondly, the relevant theories of funds performance evaluation are presented and analyzed, including evaluation method based on risk measurement, model of security selecting and market timing, and performance attributive analysis model.
    接着介绍基金绩效评估有关的理论,包括基于风险测度的评估方法、择时选股模型和绩效归属分析模型,并进行了分析。
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  risk measure
    Portfolio Model and Its Algebraic Solution Under the E\|SV Risk Measure
    E-SV风险测度组合证券投资模型及代数解法
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
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    A Research on Risk Measure & Portfolios of Htsss
    沪市高科技板块的风险测度与投资组合研究
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    The second chapter uses the viewpoint of VaR risk measure to inspect the 4th clause of the statute for insurance company solvency margin and regulatory index management released by China Insurance Regulatory Commission (CIRC) in the year of 2003. The main job is to estimate the latent tolerance ruin probability of the 4th Clause for the non-life insurance industry.
    第二章用VaR风险测度对我国保监会2003年颁布的《保险公司偿付能力额度及监管指标管理规定》的第四条款进行考察。 主要的工作是使用Copula方法,估算该条款对产险业隐含的破产概率。
短句来源
    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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  risk measures
    The first chapter overviews the relationships between capital, risks and risk measures.
    第一章梳理了资本金、风险和风险测度这三者之间的关系,是文献综述工作。
短句来源
    The second one is to add thinking factors about, such as transaction fee, fund limitation, lowest transaction unit's limitation, risk measures and exchange rate risk of international portfolio securities, so as to make Markowitz model closer to our country's practice.
    第二个方向是增加考虑因素,诸如交易费用、资金限制、最小交易单位限制,风险测度和国际组合证券的汇率风险,使Markowitz模型更贴近我国的实际;
短句来源
    Many accurate risk measures, such Value-at-risk, are applied to practice. These innovations of thoughts and techniques make "insurance enterprise-wide risk management" feasible.
    其二为各种定量风险测度工具的广泛应用,这主要表现为“在险价值”(Value-at-Risk,VaR)以及所衍生的风险度量工具已成为标准技术。
短句来源
    This paper uses mean return, CAPM risk measures beta(β) and traditional risk measures (standard deviation, skew and kurtosis) to empirically study investment decisions of investment funds between 2000 and 2002. We find that the level of investment funds ownership is not significantly related to beta(β) and a little significantly related to standard deviation, skew and kurtosis of stock return.
    使用股票的平均收益、CAPM风险测度(β值)和传统风险测度(标准差、偏度和峰度)对我国证券投资基金在2000-2002年期间的投资决策进行了实证分析.
短句来源
    These results show that the traditional risk measures have important effect on investment funds' investment decisions; but whether CAPM are applied extensively by fund managers needs to be proved further.
    结果表明,在这3年中,基金的持股比重与股票的β值具有不显著的相关性,而与股票的标准差、偏度和峰度之间的相关性则比较显著,这表明了基于个股属性的传统风险测度对基金经理的投资决策起着重要作用,而CAPM理论是否得到基金经理的广泛运用还有待于进一步论证.
短句来源
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  “风险测度”译为未确定词的双语例句
    Choice of risk estimation models based on β value
    基于β值的风险测度模型选择
短句来源
    Measuring Method of Interest Risk and Hedging Strategy of Bonds
    债券的利率风险测度及套期保值策略
短句来源
    VaR-Based Method on Estimating Convertible Bond's Market Risk
    基于VaR的可转换债券市场风险测度方法
短句来源
    The Empirical Research of Behavioural Asset Pricing on The Chinese Stock Market:Measurement of The Noise Trader Risk
    行为资产定价实证研究:中国股票市场噪声交易者风险测度
短句来源
    Comparative Study between Mean Absolute Deviation Model and Mean-Variance Portfolio Selection Model
    绝对离差风险测度模型与均值方差模型的比较研究
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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.
      
更多          
  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          


Evaluation System of National Risk for Transnational Investment Project (TIP )plays a significant and practical role both in guiding enterprises to select a beneficial TIP and in as-sisting governmental departments to check its feaslbility. In this paper, it is focused on the study of measurement and quantification of national risk, by using athree-level andthirty-four-factor Country Risk Evaluation Systeru. Applying the score of every factor evaluated by experts to the model,the results basically consistent...

Evaluation System of National Risk for Transnational Investment Project (TIP )plays a significant and practical role both in guiding enterprises to select a beneficial TIP and in as-sisting governmental departments to check its feaslbility. In this paper, it is focused on the study of measurement and quantification of national risk, by using athree-level andthirty-four-factor Country Risk Evaluation Systeru. Applying the score of every factor evaluated by experts to the model,the results basically consistent with those resulted from several famous international institutes are obtained.

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和主管部门的审核,都有着十分重要的现实意义,文章运用3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

The principle of β risk measured in theory of CAPM is applied to estimate the

运用资本资产定价CAPM模型的β-系数风险测度原理,对沪市400余只股票(基金)的投资风险敏感度进行了定位.并依据β值大小和性质划分证券组合区域,提出了基于β-风险域的投资组合策略.从而使投资组合的灵活性和有效性得到进一步的改善

 
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