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Measuring systemic risk: structural approaches. 智库出版物
2015
作者:  Kovacevic RM;  Pflug G;  Zopounidis, C;  (Eds.), G. Galariotis
Adobe PDF(225Kb)  |  收藏  |  浏览/下载:3/0  |  提交时间:2019/06/18
copula function  marginal distributions  interrelational matrix  conditional value at risk banking stability index  copula models  conditional distress probability  loss cascade  
Are time consistent valuations information monotone? 智库出版物
2014
作者:  Kovacevic RM;  Pflug GC
收藏  |  浏览/下载:5/0  |  提交时间:2019/06/18
Risk functional  Acceptability functional  Multi-period, conditional risk mapping  Average value-at-risk  Dual representation  Information monotonicity  Value of information  
Two-stage stochastic programming: Quasigradient method. 智库出版物
2009
作者:  Ermoliev Y;  Floudas, C.A.;  Pardalos, P.M.
收藏  |  浏览/下载:3/0  |  提交时间:2019/06/18
Two-stage stochastic programming problem  Dynamic two-stage stochastic programming problem  Stochastic decomposition  Anticipation  Learning and adaptation  Conditional-value-at-risk  Safety constraints