نتایج جستجو برای: downside risk criteria have preference over common risk criteria
تعداد نتایج: 4776453 فیلتر نتایج به سال:
a r t i c l e i n f o The concept of asymmetric risk estimation has become more widely applied in risk management in recent years with the increased use of Value-at-risk (VaR) methodologies. This paper uses the n-degree lower partial moment (LPM) models, of which VaR is a special case, to empirically analyse the effect of downside risk reduction on UK portfolio diversification and returns. Data...
Objectives: There have been several studies published in the medical literature over the past 30 years that address the association between tea consumption and osteoporosis with inconsistent findings. A meta-analysis was undertaken, including 8 studies, to determine the effect of tea consumption on the risk of fracture. Methods & Materials: This systematic review and meta-analysis conducted ...
We present a reinforcement learning (RL) approach for robust optimization of risk-aware performance criteria. To allow agents to express wide variety risk-reward profiles, we assess the value policy using rank dependent expected utility (RDEU). RDEU allows seek gains, while simultaneously protecting themselves against downside risk. robustify optimal policies model uncertainty, not by its distr...
Prioritization Community Selection Criteria for Community-Based Disaster Risk Reduction Intervention
Prioritization Community Selection Criteria for Community-Based Disaster Risk Reduction Intervention Vahid Ghanbari 1, Ali Ardalan 2, Sirus Salari 3, Abbas Ostadtaghizadeh 2, Mahboubeh Rahimi 4, Farzaneh Talebi 3, Reza Abbaszadeh 2, Asghar Tavan 5, Arezoo Yari 2, 6, * 1School of Nursing and Midwifery, Kermanshah University of Medical Sciences, Kermanshah, Iran 2Department of Disaster and Eme...
The portfolio selection problem is usually considered as a bicriteria optimization problem where a reasonable trade-off between expected rate of return and risk is sought. In the classical Markowitz model the risk is measured with variance, thus generating a quadratic programming model. The Markowitz model is frequently criticized as not consistent with axiomatic models of preferences for choic...
Striving in volatile and competitive business environment, companies have to reveal the ideal path to survive and provide sustainable success, which can be validated using objective and subjective criteria. In order to fulfil stakeholders’ demands, many companies use different types of non financial indicators, characterising them as subjective ones. Authors lately argue about the usage of subj...
The paper characterizes a family of downside risk measures. They depend on a target value and a parameter reflecting the attitude towards downside risk. The indicators are probability weighted −order means of possible shortfalls. They form a subclass of the measures intro¬duced by Stone (1973) and are related to the measures proposed by Fishburn (1977). The axiomatization is based on some prope...
Stock price crash risk is a phenomenon in which stock prices are subject to severe negative and sudden adjustments. So far, different approaches have been proposed to model and predict the stock price crash risk, which in most cases have been the main emphasis on the factors affecting it, and often traditional methods have been used for prediction. On the other hand, using Meta Heuristic Alg...
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