搜索结果: 1-3 共查到“经济学 Risk measure”相关记录3条 . 查询时间(0.147 秒)
Portfolio Insurance under a risk-measure constraint
Portfolio insurance Utility maximization Convex risk measures CVaR entropic risk measure
2011/3/23
We study the problem of portfolio insurance from the point of view of a fund manager, who guarantees to the investor that the portfolio value at maturity will be above a fixed threshold.
Multidimensional dynamic risk measure via conditional g-expectation
risk measure conditional g-expectation
2010/12/13
This paper studies multidimensional dynamic risk measure induced by conditional $g$-expectation. A notion of multidimensional $g$-expectation is proposed to provide a multidimensional version of nonli...
Stochastic Dominance and Risk Measure: A Decision-Theoretic Foundation for VaR and C-VaR
downside risk value-at-risk conditional-VaR stochastic dominance utility
2011/4/6
Is it possible to obtain an objective and quantifiable measure of risk backed up by choices made by some specific groups of rational investors? To answer this question, in this paper we establish some...