Multiperiod Maximum Loss is time unit invariant

Multiperiod Maximum Loss is time unit invariant

Time unit invariance is introduced as an additional requirement for multiperiod risk measures: for a constant portfolio under an i.i.d. risk factor process, the multiperiod risk should equal the one period risk of the aggregated loss, for an appropriate choice of parameters and independent of the portfolio and its distribution. Multiperiod Maximum Loss over a sequence of Kullback-Leibler balls ...

استفاده از روش Invariant-Imbedding در حال مسائل Unit operation

Is Sudden Hearing Loss Associated with Atherosclerosis?

Introduction: Sudden sensorineural hearing-loss (SSNHL) patients constitute approximately 2–3% of referrals to ear, nose and throat (ENT) clinics. Several predisposing factors have been proposed for this condition; one of which is vascular disorders and perfusion compromise. In this research the atherosclerotic changes and their known risk factors are studied in SSNHL patients.   Materials and ...

استفاده از روش invariant-imbedding در حال مسائل unit operation

Multiperiod mean-standard-deviation time consistent portfolio selection

We study a multiperiod portfolio selection problem in which a single period meanstandard-deviation criterion is used to construct a separable multiperiod selection criterion. Using this criterion, we obtain a closed form optimal strategy which depends on selection schemes of investor’s risk preference. As a consequence, we develop a multiperiod portfolio selection scheme. In doing so, we adapt ...