نتایج جستجو برای: elements at risk
تعداد نتایج: 4493187 فیلتر نتایج به سال:
The concept of coherent risk measure was introduced in Artzner et al. (1999). They listed some properties, called axioms of ‘coherence’, that any good risk measure should possess, and studied the (non-)coherence of widely-used risk measure such as Value-atRisk (VaR) and expected shortfall (also known as tail conditional expectation or tail VaR). Kusuoka (2001) introduced two additional axioms c...
The efficiency of three statistical models, AHP surface-weighted density bivariate (semi-quantitative models), stepwise multivariate regression and logistic multivariate regression models were compared in Chehel-Chai watershed in Golestan province, Iran. In current study the hazard map was prepared according to the top model of landslide hazard map. Chehel-Chai watershed is located as one of Go...
investors use different approaches to select optimal portfolio. so, optimal investment choices according to return can be interpreted in different models. the traditional approach to allocate portfolio selection called a mean - variance explains. another approach is markov chain. markov chain is a random process without memory. this means that the conditional probability distribution of the nex...
In this paper we show how the Walsh fun ctions can be used to com pute schema var iance and rela te schema vari an ce to deception . We also calcula te op erator-adj usted fitness for Walsh funct ions.
This paper addresses the problem of dynamic asset allocation under a bounded shortfall risk in a market composed of three assets: cash, stocks and a zero coupon bond. The dynamics of the instantaneous short rates is driven by a Hull and White model. In this setting, we determine and compare optimal investment strategies maximizing the CRRA utility of terminal wealth with and without value at ri...
Lepidozia stuhlmannii, L. pearsonii, Atrichum tenellum, Bryum lanatum, Campylopus subulatus, Ceratodon stenocarpus, Polytrichum commune var. humile and Thuidium delicatulum are reported as new to the Azores. The record of Sphagnum pylaisii from Terceira is referred to a monoclade expression of S. denticulatum. The presence of the North American Leucobryum albidum on the Azores is confirmed and ...
In this paper, following the generalization of Delta Normal VaR to Delta Mixture Elliptic VaR in Sadefo-Kamdem [3], we give and explicit formula to estimate linear VaR and ES when the risk factors changes with the mixture of t-Student distributions. In particular, we give rise to Delta-Mixture-Student VaR and the Delta-Mixture-Elliptic ES.
gol-e-gohar iron ore mine of sirjan in southern part of iran is a large open pit that operates below the groundwater table and during mining operation, dewatering is required to prevent operation processes from flooding. current operation is going on by digging wells in or out of the pit and pumping to prevent flooding. as a result of the former dewatering operation a vast deep cone of depressi...
M C S THE definit ion of the different sectors of the indus t r ia l structure of an economy has to be baaed on a p ragmat ic appraisal of the preva i l ing conditions, w i t h due al lowance for adjustments and var ia t ions . if it is to be economical ly meaningful . Such an approach is needed a l l the more in the context of a g r o w i n g economy, fast developing as a result of conscious a...
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