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排序方式: 共有171条查询结果,搜索用时 15 毫秒
1.
具有交易成本的证券组合投资决策研究 总被引:2,自引:0,他引:2
本文利用均值-方差模型,分析了有交易成本的证券投资组合的决策问题,给出了风险资产和无风险资产的最优投资比例与交易成本关系的一个有意义的结论。 相似文献
2.
投资组合保险CPPI策略研究 总被引:4,自引:0,他引:4
随着期权理论应用的发展,投资组合保险在国外已成为一种盛行的资产配置策略, 常数比例投资组合保险策略(CPPI)以其模型简单、参数的设置又能充分反映投资人不同的风险偏好、而且易于实施,成为大型安全型基金的基金经理首选的投资策略.本文研究并推广了CPPI策略,找出CPPI与期权的关系,讨论了借贷限制对(CPPI策略的影响,最后对CPPI策略在中国市场的可投资性进行了评测. 相似文献
3.
This paper develops theory missing in the sizable literature that uses data envelopment analysis to construct return-risk ratios for investment funds. It explores the production possibility set of the investment funds to identify an appropriate form of returns to scale. It discusses what risk and return measures can justifiably be combined and how to deal with negative risks, and identifies suitable sets of measures. It identifies the problems of failing to deal with diversification and develops an iterative approximation procedure to deal with it. It identifies relationships between diversification, coherent measures of risk and stochastic dominance. It shows how the iterative procedure makes a practical difference using monthly returns of 30 hedge funds over the same time period. It discusses possible shortcomings of the procedure and offers directions for future research. 相似文献
4.
Typical questionnaires administered by financial advisors to assess financial risk tolerance mostly contain stereotypes of people, have seemingly unscientific scoring approaches and often treat risk as a one-dimensional concept. In this work, a mathematical tool was developed to assess relative risk tolerance using Data Envelopment Analysis (DEA). At its core, it is a novel questionnaire that characterizes risk by its four distinct elements: propensity, attitude, capacity, and knowledge. Over 180 individuals were surveyed and their responses were analyzed using the Slacks-based measure type of DEA efficiency model. Results show that the multidimensionality of risk must be considered for complete assessment of risk tolerance. This approach also provides insight into the relationship between risk, its elements and other variables. Specifically, the perception of risk varies by gender as men are generally less risk averse than women. In fact, risk attitude and knowledge scores are consistently lower for women, while there is no statistical difference in their risk capacity and propensity compared to men. The tool can also serve as a “risk calculator” for an appropriate and defensible method to meet legal compliance requirements, known as the “Know Your Client” rule, that exist for Canadian financial institutions and their advisors. 相似文献
5.
One of the key parameters in modeling capital budgeting decisions for investments with embedded options is the project volatility. Most often, however, there is no market or historical data available to provide an accurate estimate for this parameter. A common approach to estimating the project volatility in such instances is to use a Monte Carlo simulation where one or more sources of uncertainty are consolidated into a single stochastic process for the project cash flows, from which the volatility parameter can be determined. Nonetheless, the simulation estimation method originally suggested for this purpose systematically overstates the project volatility, which can result in incorrect option values and non-optimal investment decisions. Examples that illustrate this issue numerically have appeared in several recent papers, along with revised estimation methods that address this problem. In this article, we extend that work by showing analytically the source of the overestimation bias and the adjustment necessary to remove it. We then generalize this development for the cases of levered cash flows and non-constant volatility. In each case, we use an example problem to show how a revised estimation methodology can be applied. 相似文献
6.
David Richard Alexander 《European Journal of Operational Research》2012,219(1):114-122
We treat real option value when the underlying process is arithmetic Brownian motion (ABM). In contrast to the more common assumption of geometric Brownian motion (GBM) and multiplicative diffusion, with ABM the underlying project value is expressed as an additive process. Its variance remains constant over time rather than rising or falling along with the project’s value, even admitting the possibility of negative values. This is a more compelling paradigm for projects that are managed as a component of overall firm value. After outlining the case for ABM, we derive analytical formulas for European calls and puts on dividend-paying assets as well as a numerical algorithm for American-style and other more complex options based on ABM. We also provide examples of their use. 相似文献
7.
Sovan Mitra Andreas Karathanasopoulos Georgios Sermpinis Christian Dunis John Hood 《European Journal of Operational Research》2015
The role of decision support systems in mitigating operational risks in firms is well established. However, there is a lack of investment in decision support systems in emerging markets, even though inadequate operational risk management is a key cause of discouraging external investment. This has also been exacerbated by insufficient understanding of operational risk in emerging markets, which can be attributed to past operational risk measurement techniques, limited studies on emerging markets and inadequate data. 相似文献
8.
聚类分析在股票市场板块分析中的应用 总被引:7,自引:1,他引:7
本文将聚类分析应用于股票市场的研究,研究实例表明,聚类分析方法是股市板块分析中的一种有效、实用的方法 相似文献
9.
Ganesh P. Sanganwar Ram B. Gupta Alexandre Ermoline James V. Scicolone Rajesh N. Dave 《Journal of nanoparticle research》2009,11(2):405-419
Due to the increased use of nanocomposites, mixing at nanoscale has become important. Current mixing techniques can be classified
into: (a) dry mixing (mechanical mixing), (b) wet mixing, and (c) simultaneous production of mixed nanoparticles (when possible).
Dry mixing is in general not effective in achieving desired mixing at nanoscale, whereas wet mixing suffers from different
disadvantages like nanomaterial of interest should be insoluble, has to wet the liquid, and involves additional steps of filtration
and drying. This paper examines the use of pressurized carbon dioxide having high density and low viscosity to replace the
liquids (e.g., n-hexane, toluene). Ultrasound is applied to the suspension of nanopowders in gaseous and supercritical carbon dioxide where
high impact collisions during sonication help mixing and the final mixture is obtained by simple depressurization. The method
is tested for binary mixture of alumina/silica, silica/titania, MWNT (multiwalled carbon nanotubes)/silica, and MWNT/titania.
The effects of sonication intensity and pressure on the degree of mixing are studied. Comparative study is also done with
liquid n-hexane as a mixing media. Quantitative characterization (e.g., mean composition standard deviation, intensity of segregation)
of mixing of alumina/silica and silica/titania is done with energy-dispersive X-ray spectroscopy, and that of MWNT/silica
and MWNT/titania is done using field-emission scanning electron microscopy and day-light illumination spectrophotometry. Results
show that mixing in carbon dioxide at higher ultrasound amplitudes is as good as in liquid n-hexane, and the final mixed product does not contain any residual media as in the case of liquid n-hexane. 相似文献
10.
We analyze the optimal investment strategy of a firm that can complete a project either in one stage at a single freely chosen time point or in incremental steps at distinct time points. The presence of economies of scale gives rise to the following trade-off: lumpy investment has a lower total cost, but stepwise investment gives more flexibility by letting the firm choose the timing individually for each stage. Our main question is how uncertainty in market development affects this trade-off. The answer is unambiguous and in contrast with a conventional real-options intuition: higher uncertainty makes the single-stage investment more attractive relative to the more flexible stepwise investment strategy. 相似文献