条件风险价值(CVaR),conditional value at risk(CVaR)
1)conditional value at risk(CVaR)条件风险价值(CVaR)
2)conditional value at risk(CVaR)条件风险价值
1.A optimal portfolio decision-making flow for power producer is proposed using the modern investment theory,which takes the conditional value at risk(CVaR)as the risk measurement index and aims at both maximum avail and minimum risk value.借鉴现代证券投资理论,以条件风险价值为风险计量指标,以效用最大化和风险最小化建模,提出了一个发电公司最优投资组合的决策流程,对发电公司在日前市场、无风险长期合同市场、期货市场总电量的最优分配比例进行了计算。
2.This paper proposes a novel conditional value at risk(CVaR) method based on the quantile,and minimizes the weighted sum of the absolute deviation of each CVaR to build a mathematical model.提出了一种基于分位数的条件风险价值(CVaR)方法,以各期CVaR的绝对偏差加权和最小为目标函数建立数学模型,针对水电在上网竞价过程中面临的电价、来水、需求等各类营销风险,在蒙特卡罗模拟条件下,给出相应的发电收益率表达式,对模型进行扩展。
3.Taking the conditional value at risk(CVaR) as a risk measurement index and the allocated generation-rights a riskless asset,a combined bidding model,was built with CVaR constrained condition,to maximize the expected revenue rate.为了研究电力市场环境下发电量在发电权交易市场中的分配比例问题,以条件风险价值(CVaR)为风险计量指标,把发电权交易市场分配的电量作为一种无风险资产,建立了带有CVaR约束的期望收益最大化的投标组合模型,讨论发电商的单期发电权交易量分配策略。
英文短句/例句
1.A Calculation of VaR and CVaR Based on ARMA-GARCH Model基于ARMA-GARCH模型的风险价值与条件风险价值计算
2.Condition value at risk evaluation of adopting interruptible power price实行可中断电价的条件风险价值评估
3.Conditional Value-At-Risk for Linear Portfolios with Two Category Distributions Risk Factors;两类风险因子线性投资组合的条件风险价值
4.Conditional Value at Risk Based Optimization of Power Purchasing Portfolio in Multiple Electricity Markets and Risk Management;基于条件风险价值的购电组合优化及风险管理
5.The Research on the Futures Hedging Model Based on Conditional Value at Risk基于条件风险价值的期货套期保值模型研究
6.log-optimal Portfolio with a CVaR Constraint;以条件风险价值为约束的log-最优投资组合问题
7.The Optimal Portfolio Model Based on CVaR;基于条件风险价值的投资组合优化模型
8.Portfolio models with conditional value-at-risk for generation companies条件风险价值约束下的发电商容量分配模型
9.Loan"s Portfolio Optimization Model of CvaR Minimum Based on Credit Risk Transfer基于信用风险迁移条件风险价值最小化的贷款组合优化模型
10.Dynamical Power Purchasing Model for Power Supply Company Based on Fractal Conditional Value at Risk基于分形条件风险价值的供电公司动态购电组合模型
11.The Calculation of VaR Based on Different Distributions and Empirical Study;不同分布条件下的风险价值及其实证研究
12.A Measurement of the Value of Risks─the Application of Autoregressive Conditional Heteroskedasticitymodel to Financial Anticipation;风险价值量测算──条件异方差模型在金融预警中的应用
13.A Study on Conditional Risk at Value Models;条件风险值（CVaR）模型的理论研究
14.Pricing of Interest Rate Swap under Default Risk;违约风险条件下利率互换合约的定价
15.Credit Risk Modeling and Numerical Simulation under Incomplete Information;不完全信息条件下信用风险建模与数值模拟
parative Analysis of Value-at-risk and Tail Conditional Expectation in Application风险值和尾部条件期望的实证比较分析
17.Evaluating Ventures with Real Option Theory under Information Asymmetry;不对称信息条件下的风险投资实物期权评价
18.SAD Effects:An Interpretation Based on Conditional CAPM Including Time Variation in the Price of Risk;SAD效应:一个基于时变风险价格的条件CAPM的解释
相关短句/例句
conditional value at risk(CVaR)条件风险价值
1.A optimal portfolio decision-making flow for power producer is proposed using the modern investment theory,which takes the conditional value at risk(CVaR)as the risk measurement index and aims at both maximum avail and minimum risk value.借鉴现代证券投资理论,以条件风险价值为风险计量指标,以效用最大化和风险最小化建模,提出了一个发电公司最优投资组合的决策流程,对发电公司在日前市场、无风险长期合同市场、期货市场总电量的最优分配比例进行了计算。
2.This paper proposes a novel conditional value at risk(CVaR) method based on the quantile,and minimizes the weighted sum of the absolute deviation of each CVaR to build a mathematical model.提出了一种基于分位数的条件风险价值(CVaR)方法,以各期CVaR的绝对偏差加权和最小为目标函数建立数学模型,针对水电在上网竞价过程中面临的电价、来水、需求等各类营销风险,在蒙特卡罗模拟条件下,给出相应的发电收益率表达式,对模型进行扩展。
3.Taking the conditional value at risk(CVaR) as a risk measurement index and the allocated generation-rights a riskless asset,a combined bidding model,was built with CVaR constrained condition,to maximize the expected revenue rate.为了研究电力市场环境下发电量在发电权交易市场中的分配比例问题,以条件风险价值(CVaR)为风险计量指标,把发电权交易市场分配的电量作为一种无风险资产,建立了带有CVaR约束的期望收益最大化的投标组合模型,讨论发电商的单期发电权交易量分配策略。
3)conditional value at risk (CVaR)条件风险价值
1.In terms of a new risk index based on conditional value at risk (CVaR) as the measuring index for market risk, a purchasing model based on portfolio theory is presented, in which the object function is to minimize the portfolio loss among day-ahead market, forward contract market and options market.基于投资组合理论,引入条件风险价值作为风险测量因子,以最小化损失为目标,建立了供电公司在日前现货市场、远期合同市场和金融期权市场间购电的决策模型,重点考虑金融市场中期权交易对购电组合的影响。
2.Using the risk management theory in financial research field for reference, taking the conditional value at risk (CVaR) as risk measurement index, a novel Mean-CVaR optimal combined bidding model is built by considering the r.借鉴金融领域风险管理的理论,以条件风险价值(CVaR)为风险计量指标,综合考虑风险和期望收益率,建立了新的发电商均值-CVaR投标组合优化模型。
4)CVaR条件风险价值
1.A Calculation of VaR andCVaR Based on ARMA-GARCH Model基于ARMA-GARCH模型的风险价值与条件风险价值计算
2.Based on the risk management theory, two risk assessment techniques—value at risk(VaR) and conditional value at risk(CVaR) are used as risk measurement index for generation companies in the paper ,and two modes are established fo.借鉴金融学的风险管理理论,采用风险价值(VaR)和条件风险价值(CVaR)作风险度量指标,建立了Pool模式和Bilateral模式下发电商的收益模型,并通过VaR、CVaR值的计算分析了不同报价策略下发电商的风险。
3.With the use of Monte Carlo simulation technology,the minimum conditional value at risk(CVaR) of the different confidence level and the composition of assets related are also analyzed.根据Copula函数在构建反映随机变量实际分布与相关性的联合分布函数上的优势,构建了反映多个资产收益实际分布和相关性的联合分布函数,并使用蒙特卡罗模拟技术,分析在不同置信度下投资组合的最小条件风险价值(CVaR)。
5)conditional value at risk条件风险价值
1.Application ofconditional value at risk measurement in bank s optimal portfolio;条件风险价值度量方法在银行投资组合优化中的应用
2.Withconditional value at risk(CVaR)as a measuring index for market risk,a purchasing model for distribution companies(Discos)among several sub-markets is presented,in which the object function is to maximize the expected benefit of Discos.引入条件风险价值(conditional value at risk,CVaR)作为市场风险的度量因子,建立了以最大化期望收益为目标的配电商多市场购电决策模型,分析了期权和可中断负荷(interruptible load,IL)对购电组合的影响。
6)conditional value-at-risk条件风险价值
延伸阅读
风险价值风险价值【风险价值】企业投资因冒风险而得到的价值。包括单位风险价值和投资风险价值两种。前者是单位投资额因冒有风险而应得的价值，同反映风险程度的标准差成正比例关系，是标准差的函数，可用下面公式表示:O=f(的;式中日代表单位风险价值，a代表标准差，f代表风险价值系数，一般取5一巧%。后者是单位风险价值乘以投资总额，就等于该项投资所期望取得的风险价值，其公式为:v二8·卜式中:V是投资的风险价值;I是投资总额。
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