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Conditional Value-at-Risk for Random Immediate Reward Variables in Markov Decision Processes
Markov Decision Processes Conditional Value-at-Risk Risk Optimal Policy Inventory Model
2013/1/30
We consider risk minimization problems for Markov decision processes. From a standpoint of making the risk of random reward variable at each time as small as possible, a risk measure is introduced usi...
COMPUTING THE PORTFOLLO CONDITIONAL VALUE-AT-RISK IN THE a-STABLE CASE
Stable distributions heavy tails coherent risk measures conditional value-at-risk
2009/9/18
The class of a-stable distributions is an attractive
probabilistic model of asset returns distribution in the field of finance.
When dealing with real issues, such ar optimal portfolio selection, it...
Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions
Risk measures Utility functions Nonexpected utility theory Maxmin Conditional Value-at-Risk Loss aversion
2010/11/1
We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expect...