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需求依赖于价格情境下基于Copula-CVaR的报童决策

DOI: 10.13195/j.kzyjc.2013.0504, PP. 1083-1090

Keywords: Copula,函数,条件风险价值,风险态度,随机需求与随机价格相关,蒙特卡罗模拟

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Abstract:

探讨价格不确定下,需求-价格相关性与风险态度对决策行为的影响.建立随机需求与随机价格相关情境下基于Copula-CVaR的报童决策模型,Copula函数描述相关性,条件风险价值(CVaR)反映风险态度,证明了模型解的存在性和惟一性.蒙特卡罗模拟发现,需求与价格的相关性与风险态度对决策的交互作用使决策行为发生规律性变化,决策者对价格波动有一定容忍度,需求与价格相关性趋于不相关与完全负相关时市场趋于同质性.

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