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Convex Risk Measures: Lebesgue Property on one Period and Multi Period Risk Measures and Application in Capital Allocation Problem
Convex Risk Measures Lebesgue Property Period Multi Period Risk Measures Application Capital Allocation Problem
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2010/12/17
In this work we study the Lebesgue property for convex risk measures on the space of bounded c\`adl\`ag random processes ($\mathcal{R}^\infty$). Lebesgue property has been defined for one period conv...
Feasibility of Portfolio Optimization under Coherent Risk Measures
Feasibility Portfolio Optimization Coherent Risk Measures
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2010/12/17
It is shown that the axioms for coherent risk measures imply that whenever there is an asset in a portfolio that dominates the others in a given sample (which happens with finite probability even for ...