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We introduce the time-consistency concept that is inspired by the so-called “principle of optimality” of dynamic programming
and demonstrate – via an example – that the conditional value-at-risk (CVaR) need not be time-consistent in a multi-stage
case. Then, we give the formulation of the target-percentile risk measure which is time-consistent and hence more suitable
in the multi-stage investment context. Finally, we also generalize the value-at-risk and CVaR to multi-stage risk measures
based on the theory and structure of the target-percentile risk measure. 相似文献
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引入风险价值约束的投资组合理论 总被引:5,自引:0,他引:5
风险价值(VaR)是近年来最为流行的风险管理工具.本文在无风险证券情形下,将VaR约束引入到传统的均值一方差投资组合理论中,考察了此时投资组合的有效前沿以及投资组合选择的变化,并指出了VaR约束对证券投资基金组合管理的意义. 相似文献
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通过优化方法给出了在均值 CVaR有效前沿上,满足给定的三种安全第一标准的最优证券组合、最优证券组合的期望收益及其CVaR风险值的求解方法和相关结果.三种安全第一标准的经济意义分别如下使证券组合的回报率低于给定的生存水平的概率达到最小;在证券组合的回报率低于生存水平的概率不超过指定值的条件下,使它的生存水平达到最大;在证券组合的回报率低于给定生存水平的概率不超过指定值的条件下,使它的回报率的期望值达到最大.这些结果可为金融机构和投资者正确决策提供理论依据. 相似文献
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Wei Wang 《Operations Research Letters》2008,36(5):515-519
We propose a sample average approximation (SAA) method for stochastic programming problems with expected value constraints. Such problems arise, for example, in portfolio selection with constraints on conditional value-at-risk (CVaR). We provide a convergence analysis and a statistical validation scheme for the proposed method. 相似文献
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The recycling of urban solid wastes is a critical point for the “closing supply chains” of many products, mainly when their value cannot be completely recovered after use. In addition to environmental aspects, the process of recycling involves technical, economic, social and political challenges for public management. For most of the urban solid waste, the management of the end-of-life depends on selective collection to start the recycling process. For this reason, an efficient selective collection has become a mainstream tool in the Brazilian National Solid Waste Policy. In this paper, we study effective models that might support the location planning of sorting centers in a medium-sized Brazilian city that has been discussing waste management policies over the past few years. The main goal of this work is to provide an optimal location planning design for recycling urban solid wastes that fall within the financial budget agreed between the municipal government and the National Bank for Economic and Social Development. Moreover, facility planning involves deciding on the best sites for locating sorting centers along the four-year period as well as finding ways to meet the demand for collecting recyclable materials, given that economic factors, consumer behavior and environmental awareness are inherently uncertain future outcomes. To deal with these issues, we propose a deterministic version of the classical capacity facility location problem, and both a two-stage recourse formulation and risk-averse models to reduce the variability of the second-stage costs. Numerical results suggest that it is possible to improve the current selective collection, as well as hedge against data uncertainty by using stochastic and risk-averse optimization models. 相似文献
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首先,引入条件风险值(CVaR)准则,作为风险厌恶型的供应商和零售商的决策准则,建立了基于条件风险值(CVaR)准则的折扣回购策略双层风险决策模型.然后,导出了零售商在批发价格下的最优订购公式,证明了订购量随着折扣增大而增大,随着批发价格增大而减小,数值实验表明供应商可以通过折扣和批发价来分担零售商的风险损失,来使供应链达到协调. 相似文献
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在商业、工业、电力和房地产等行业中存在许多复杂的多周期风险决策问题,它的数学模型研究对于解决这些问题具有重要的作用.作者建立了一种新的多周期多目标条件风险值(CVaR)数学模型理论和方法.先定义了一种带时间段的多周期多目标损失函数下的α-VaR和α-CVaR值,给出了一类多周期多目标CVaR最优化模型.然后,证明了多目标意义下的对应模型的等价定理,给出了多周期多目标CVaR模型的近似求解等价模型.最后,建立了一种生产企业在供过于求和供不应求两种情形下产生的多周期双目标CVaR模型,针对一个电力生产企业进行的数值实验,表明了模型可以得到在最小供给的用电损失分布下的各周期下的相匹配供电策略,可以帮助供电部门各个时期供电不平衡状况下的风险控制. 相似文献
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通过广义Pareto分布拟合沪深股市综合指数对数收益率的尾分布,并得到相应的VaR估计. 相似文献