نتایج جستجو برای: worst case conditional value at risk

تعداد نتایج: 5698588  

2014
Serdar Biçer Banu Diri

Özet Yazılım testinde uygulanabilecek en basit yaklaşım verilen bir kod parçasındaki bütün olasılıkları test etmektir. Bu durum zaman ve bütçe kısıtları nedeniyle pratikte imkansızdır. Yazılım hata tahmini yöntemleri proje yöneticileri tarafından, test aşamasında, kısıtlı olan kaynakları efektif bir şekilde dağıtmak için kullanılmaktadır. Bu alandaki çalışmalar özellikle 2005 yılından itibaren ...

Journal: :European Journal of Operational Research 2009
Akiko Takeda Takafumi Kanamori

Robust optimization is one of typical approaches to optimize a system with incomplete information and considerable uncertainty. The standard robust optimization problem minimizes maximum cost by focusing on the considerable worst case. In some application field, it is certainly important to consider the worst case among all considerable cases, but this min-max criterion tends to lead an overly ...

2005
Dimitris Bertsimas Melvyn Sim

We propose methods for robust discrete optimization in which the objective function has cost components that are subject to independent and bounded perturbations. Motivated by risk management practice, we approximate the problem of optimization of VaR, a widely used downside risk measure by introducing four approximating models that origininate in robust optimization. We show that all four mode...

2006
Nalan Gülpinar Berç Rustem

Financial decision making involves uncertainty and consequently risk. It is well known that asset return forecasts and risk estimates are inherently inaccurate. The inaccuracy in forecasting and estimation can be addressed through the specification of rival scenarios. In this paper, we extend the multi-period mean-variance portfolio optimization and asset liability management problems to the ro...

2013
Åsmund Ahlmann Nyre Martin Gilje Jaatun

Existing instruments for measuring risk perception have focused on an abstract version of the concept, without diving into the the details of what forms the perception of likelihood and impact. However, as information security risks become increasingly complex and difficult for users to understand, this approach may be less feasible. The average user may be able to imagine the worst case scenar...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه تربیت مدرس - دانشکده فنی مهندسی 1389

ارزش در معرض خطر (var) یکی از معمول ترین روش های مورد استفاده در محاسبه ریسک در بانکداری به شمار می آید. برای اندازه گیری ارزش در معرض خطر عمدتا از سه روش استفاده می شود، که عبارتند از: روش پارامتریک، روش شبیه سازی تاریخی و روش شبیه سازی مونت کارلو، که هریک از این روش ها دارای معایبی می باشند که سبب بروز اشتباهاتی در محاسبه ی var می شوند. در تحقیق حاضر به دنبال آن هستیم که روشی را در راستای رفع...

2001
ROBERT F. ENGLE

4 Non-technical summary 5

2008
Frank J. Criado Irene C. Turnbull Michael L. Marin Peter L. Faries Fabio Verzini

Journal: :Mathematics and Computers in Simulation 2011
Michael McAleer Bernardo da Veiga Suhejla Hoti

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