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81.
82.
A one-period financial market model with transaction costs is considered in this paper. Redefining the risky asset price process in a suitable way, we obtain an explicit solution to the utility maximization problem when the risk preferences of the investor are based on the exponential utility function and a liability can be included in her portfolio. The arbitrage-free interval price for a general liability, as well as its replication price, is characterized in terms of expectations with respect to equivalent martingale measures. The indifference price is derived and its asymptotic limit when the risk aversion is going to infinity is analysed. 相似文献
83.
Emmanuel Denis 《Applied Mathematical Finance》2013,20(6):491-518
Abstract In 1985 Leland suggested an approach to price contingent claims under proportional transaction costs. Its main idea is to use the classical Black–Scholes formula with a suitably enlarged volatility for a periodically revised portfolio whose terminal value approximates the pay-off h(S ?T )?=?(S ?T ???K)+ of the call option. In subsequent studies, Lott, Kabanov and Safarian, and Gamys and Kabanov provided a rigorous mathematical analysis and established that the hedging portfolio approximates this pay-off in the case where the transaction costs decrease to zero as the number of revisions tends to infinity. The arguments used heavily the explicit expressions given by the Black–Scholes formula leaving open the problem whether the Leland approach holds for more general options and other types of price processes. In this paper we show that for a large class of the pay-off functions Leland's method can be successfully applied. On the other hand, if the pay-off function h(x) is not convex, then this method does not work. 相似文献
84.
含有交易成本的均值-方差-偏度资产组合优化模型 总被引:2,自引:0,他引:2
提出了含有交易成本的均值 -方差 -偏度资产组合优化模型 ;结合一个非对称性收益分布的具体例子 ,对模型做了灵敏度分析 . 相似文献
85.
摩擦市场的最优消费-投资组合选择 总被引:6,自引:0,他引:6
本文研究摩擦市场中的最优消费-投资组合选择问题.当金融资产和自然状态个数为有限个以及摩擦局限于成比例的交易费时,可用原始市场或适当转换了的市场的无套利性来刻画最优消费-投资组合策略的存在性或充要条件. 相似文献
86.
Perturbation solution of optimal portfolio theory with transaction costs for any utility function 总被引:1,自引:0,他引:1
The solution to the optimal portfolio selection and consumptionrule with small transaction costs is derived via the use ofperturbation analysis for the case when one risky and one risklessasset are available for investment. This methodology allowsus to apply a broader specification for the utility function. 相似文献
87.
投资市场具有一定的风险,影响因素包括经济、政治、市场自身规律等,根据市场机制构建合适的投资组合模型,可以有效降低市场风险,提高投资回报率.人工鱼群算法是模仿自然界鱼类的一种人工智能优化算法,具有较好的优化能力,但有时会陷入局部最优解.首先将人工鱼群算法与均匀变异相结合,加入均匀变异随机数,使算法能够跳出局部最优解,得到全局最优,从而提高算法精度.然后采用改进人工鱼群算法对投资组合模型进行优化求解.实验表明,改进人工鱼群算法具有较好的收敛精度和收敛速度,对投资组合模型的求解效果更好,风险下降,收益增加、 相似文献
88.
In this paper, we introduced a transaction costs function and established a portfolio model of risk management with second stochastic dominance constraints. This model does not need to make any assumptions about the utility function of the investors and the distribution of the risk assets income, and it can ensure that the choices of the risk-averse investor can be randomly better than a reference value, so it can avoid the high risk investment. We provide a smoothing penalty sample average approximation method for solving this optimization problem. We prove that the smoothing penalty problem is equivalent to the original problem. Numerical results prove that the model and the method are efficient. 相似文献
89.
本文主要研究对偶风险模型的最优控制问题. 为了考虑破产对保险公司(金融机构)的影响, 我们在构造价值函数的过程中引入了一个变量来测度破产对公司盈利的影响. 为了求得最优的控制策略, 我们首先研究了两类带有约束的优化问题. 基于这些带约束优化问题的解, 我们给出了无约束的最优策略. 相似文献
90.
Carbon emissions caused by the household sector have become a major contributor to total emissions. Personal carbon trading (PCT), although untested in practice, could potentially be a powerful tool to induce change in consumer behavior. In this paper, we present an optimization model to determine the energy use choices and allowance trading, and a market equilibrium model to obtain the total supply and demand functions of allowances and then to derive the equilibrium allowance price. It is shown that the level of allocated allowance, energy price, emission rate, and transaction costs could influence the equilibrium allowance price and traded volume. Furthermore, the allowance price is affected negatively and slightly by changes in energy prices, so the total energy price variations will be lessened relatively in the PCT scheme. To further demonstrate these relationships, numerical simulations are conducted. On the basis of the simulation results, the implications of this study are discussed and suggestions for future study are provided. 相似文献