نتایج جستجو برای: risk measures

تعداد نتایج: 1241649  

Journal: :European Journal of Operational Research 2022

In this paper, we consider risk-sensitive Markov Decision Processes (MDPs) with Borel state and action spaces unbounded cost under both finite infinite planning horizons. Our optimality criterion is based on the recursive application of static risk measures. This motivated by utilities in economic literature, has been studied before for entropic measure extended here to an axiomatic characteriz...

2007
Alexandre Adam Mohamed Houkari Jean-Paul Laurent Alexandre ADAM Mohamed HOUKARI Jean-Paul LAURENT

This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We subsequently apply these ideas to an asset management framework using a database of hedge funds returns chosen for their nonGaussian features. We deal with t...

Journal: :European Journal of Operational Research 2016

Journal: :Annals of Operations Research 2018

Journal: :Journal of Financial Econometrics 2014

Journal: :Journal of Applied Probability 2012

Journal: :Journal of Accounting Research 2009

Journal: :Turkish Journal of Mathematics 2021

We study a static portfolio optimization problem with two risk measures: principle measure in the objective function and secondary whose value is controlled constraints. This of interest when it necessary to consider preferences parties, such as manager regulator, at same time. A special case this where measures are assumed be coherent (positively homogeneous) studied recently joint work author...

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