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Search Results: 1 - 10 of 61 matches for " CVAR "
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CVaR度量在极值理论中的应用
Application of CVaR Metric in Extreme Value Theory
 [PDF]

姚竟, 李永明
Pure Mathematics (PM) , 2016, DOI: 10.12677/PM.2016.62014
Abstract:
近半个世纪以来,随着经济的全球化和多元化,金融风险的度量逐渐受到金融界以及经济学者的关注。90年代后,新型风险管理工具VaR(在险价值)测量方法逐步发展起来,以它能够科学、准确、综合的度量风险值而倍受国际金融界的青睐。但在极端事件发生期,VaR的度量准确性不如CVaR(条件在险价值)。本文意在研究CVaR度量在极值理论上的应用。
Since the last half a century, with the globalization and diversification of economy, the financial risk measurement has gradually been concerned by the financial and economic scholars. After the 1990s, the new risk management tool, VaR (value at risk) measurement method has been devel-oped gradually, which can measure risk value scientifically, accurately and comprehensively, and it is welcomed in the international financial community, but in extreme event, the accuracy of VaR is less than that of CVaR (conditional value at risk). This paper is intended to study the application of CVaR measure in extreme value theory.
基于利润-CVaR的供应链价格补贴契约优化与协调研究
Research on Markdown Money Contract Optimization and Coordination of Supply Chain Based on the Profit-CVaR
 [PDF]

刘鹏飞, 谢梦洁
Management Science and Engineering (MSE) , 2016, DOI: 10.12677/MSE.2016.52009
Abstract: 本文研究风险中性供应商和风险厌恶零售商组成的二级供应链协调问题。运用利润-CVaR度量零售商风险厌恶,建立随机需求下供应链价格补贴协调模型。在一定范围内,最优订购量随风险厌恶因子和CVaR权重的增加而减少,价格补贴随CVaR权重和风险厌恶因子的增加而增加,价格补贴契约能完美协调供应链并通过数值算例进行验证。
This paper studied the coordination of a two-echelon supply chain with a risk-neutral supplier and a risk-averse retailer. The risk aversion of the retailer was measured by profit-CVaR. We construct the markdown money contract coordination model of supply chain under stochastic demand. At a certain range, the optimal ordering quantity is reduced along with the increase of risk aversion factor and weight of CVaR; and markdown money is increased with the increase of risk aversion factor and weight of CVaR. Markdown money contract can perfectly coordinate supply chain. And we verify the conclusions through a numerical example.
基于CVaR-GARCH-GED模型的股指期货风险预测
王丽娜(博士),张丽娟(博士)
财会月刊 , 2010,
Abstract: 本文以我国沪深300指数期货合约(IF1012)的日收益率为样本进行实证分析,结果表明:建立在GARCH-GED模型基础上的CVaR预测收益率涨跌变化与原始收益率的变化趋势一致;CVaR准确性检验说明CVaR预测收益的准确性在95%的置信水平下是显著的,能够比较准确地预测风险。  【关键词】股指期货CVaR方法CVaR-GARCH-GED模型一、研究背景  股指期货是全球增长最快的金融衍生品,其在国际资本市场的风险管理过程中日益发挥着重要的作用。我国股指期货的推出可以在很大程度上优化投资者的资产组合,有效规避股票市场的系统性风险,并促进资本市场的发展,但是股指期货本身也会给金融市场带来一定的风险。近年来,关于股指期货的风险管理、定价机制、套期保值、期货与现货关系等问题已成为学术界和实务界关注的热点。其中,较多研究集中于股指期货的风险预测、控制和规避。
基于cvar的raroc对我国开放式基金绩效评价
系统工程理论与实践 , 2010,
Abstract: ?以2006年到2009年的数据对我国开放式基金进行绩效评价.计算cvar和var时都采用新的方法即运用garch,egarch,parch模型和残差服从t和ged分布的组合来计算,接着通过返回测试提高var和cvar精度,并且将cvar与var的结果都进行测试比较.经过实证检验,基于cvar的raroc更准确地衡量了风险,提高了精确度,为基金投资者提供了一个很好的业绩参考指标.
利润-CVaR准则下考虑缺货成本的报童模型研究
Study on Newsvendor Model with Lost Sale Penalty Cost under Criterion of Profit-CVaR
 [PDF]

刘鹏飞, 贺思云
Management Science and Engineering (MSE) , 2015, DOI: 10.12677/MSE.2015.42004
Abstract:
本文研究了在利润-CVaR准则下,缺货惩罚成本和期望利润权重对厌恶风险的报童的最优订货量的影响。提出了一种组合的期望收益和风险,既反映报童追求高利润的愿望,又反映其对潜在风险的控制。采用该组合为目标函数,对报童的订货策略进行了研究。研究表明,考虑缺货惩罚时,最优订货量依赖于风险厌恶程度、期望利润值权重以及单位缺货惩罚成本,并通过数值算例进行验证。
In this paper, in a profit-CVaR framework, we study the impact of lost sale penalty cost and expected profit weight on a risk aversion newsvendor’s optimal ordering quantity. A combination of the expected profit and CVaR is proposed, which reflects the desire of the risk-averse newsvendor to maximize the profit on the one hand and minimize the downside risk of the profit on the other hand. By using the combination as an objective function, the ordering strategies of the newsvendor are studied. We show that when there is lost sale penalty cost, the optimal ordering quantity depends on degree of risk aversion, expected profit weight and value of shortage cost. And then we illustrate our findings by examples.
The Optimal Portfolio Model Based on Mean-CVaR  [PDF]
Xing Yu, Hongguo Sun, Guohua Chen
Journal of Mathematical Finance (JMF) , 2011, DOI: 10.4236/jmf.2011.13017
Abstract: This paper proposed the optimal portfolio model maximizing returns and minimizing the risk expressed as CvaR under the assumption that the portfolio yield subject to heavy tail. We use fuzzy mathematics method to solve the multi-objectives model, and compare the model results to the case under the normal distribution yield assumption based on the portfolio VAR through empirical research. It is showed that our return is approximate to M-V model but risk is higher than M-V model. So it is illustrated that CVaR predicts the potential risk of the portfolio, which will help investors to cautious investment.
CVaR in a Newsvendor Model with Lost Sale Penalty Cost
带有缺货惩罚的报童模型中的CVaR 研究

XU Ming-hui,YU Gang,ZHANG Han-qin,
许明辉
,于刚,张汉勤

系统工程理论与实践 , 2006,
Abstract: The traditional treatment of supply chain models largely focuses on the optimization of the expected value of a given cost or profit measure.Owing to highly uncertainty in supply and demand,the use of the expected objective measure may be not justified.In this paper,in a Conditional Value-at-Risk(CVaR) framework,we study the impact of lost sale penalty cost and degree of risk aversion on a risk averse retailer's optimal ordering quantity in the newsvendor setting.When there is no lost sale penalty cost,it is well known that a risk averse retailer's optimal ordering quantity is less than that of a risk neutral retailer.We show that when there is lost sale penalty cost the conclusion may not be true,which depends on demand distribution,degree of risk aversion and the value of shortage cost.And then we illustrate our findings by two examples.
风险厌恶因子不确定时的二级供应链定价与订货策略
罗春林,柳键,李杰
控制与决策 , 2011,
Abstract: 研究了风险中性的供应商与风险厌恶的零售商所构成的二阶供应链的定价与订货策略,零售商的风险厌恶由条件价值风险来度量.研究结果表明,当供应商不确定零售商的风险厌恶因子时,一定会造成其期望利润的下降,从而也体现了信息的价值.特别地,当风险厌恶因子服从均匀分布时,其期望订货量正是需求的截断随机变量的期望.
基于CVaR的供应链联合促销的回购契约协调研究
代建生, 孟卫东
中国管理科学 , 2014,
Abstract: ?运用CVaR方法,考察了风险中性的供应商和风险规避的销售商联合促销报童类商品的供应链的回购契约协调问题,从讨论中获得一些管理启示。讨论了既定回购契约下渠道成员的最优决策,并分析了回购契约参数、销售商风险规避系数、商品残值和缺货成本等外生参数对渠道成员决策的影响。研究表明传统回购契约不能完成渠道协调,但引入成本分担机制的回购契约能协调不过于规避风险的供应链;指出商品残值和缺货成本对上述结论没有影响,但它们对契约选择空间和能被回购契约协调的供应链的范围具有重要影响。最后,对文中主要结论进行了数值分析。
cvar在金融工具复制上的应用
系统工程理论与实践 , 2004,
Abstract: ?rockafellarrt,suryasev将cvar应用于金融工具的复制,其结论是cvar能有效地改善复制的组合.本文在他们研究的基础上,对其方法进行了改进,并将其应用于对中信指数的复制,探讨cvar的理论意义与实际效果.在对中信指数进行复制的过程中采用了样本区间内模拟和样本区间外模拟,并将两种方法进行了比较.计算结果表明,可以通过一个线性优化问题将cvar约束考虑到复制的组合中,cvar的值可以直接由一个线性函数确定,不用先计算var的值.而且,当cvar约束有效时var是确定组合的副产品.最重要的发现是,cvar中损失函数对于控制复制组合的偏离方向有直接作用,rockafellarrt,suryasev的方法对于样本区间外的模拟是不起作用的;改进的方法对于样本区间外的模拟中cvar约束是起作用的.
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