VaR-CVaR
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【EX】Robust portfolio optimization with uncertainty in risk measures
VaR原创 2021-02-27 19:41:30 · 226 阅读 · 0 评论 -
【AP】Robust VaR and CVaR optimization under joint ambiguity in distributions, means and covariance(4)
论文解析系列:Robust VaR and CVaR optimization under joint ambiguity in distributions, means and covariance(3)原创 2020-11-24 11:28:17 · 150 阅读 · 0 评论 -
【AP】Robust VaR and CVaR optimization under joint ambiguity in distributions, means and covariance(3)
论文解读系列: Robust VaR and CVaR optimization under joint ambiguity in distributions, means and covariance(2)原创 2020-11-23 15:00:32 · 258 阅读 · 0 评论 -
【AP】Robust VaR and CVaR optimization under joint ambiguity in distributions, means and covariance(2)
论文解读系列：Robust VaR and CVaR optimization under joint ambiguity in distributions, means and covariance(2)原创 2020-11-23 10:32:13 · 142 阅读 · 0 评论 -
【AP】Robust VaR and CVaR optimization under joint ambiguity in distributions, means and covariance(1)
论文解析系列：robust VaR and CVaR原创 2020-11-22 16:46:25 · 360 阅读 · 0 评论 -
【AP】EMD-based Methods and risk measures
多元EMD和风险测度原创 2020-10-31 19:33:23 · 251 阅读 · 0 评论 -
【FinE】mean-CVaR计算
mean-CVaR matlab code原创 2020-10-22 15:21:24 · 3095 阅读 · 2 评论 -
【FinE】多目标mean-cvar模型求解
mean-cvar加入多目标模型求解原创 2020-10-19 14:09:36 · 1541 阅读 · 1 评论 -
【AP】Dynamic mean-lpm and mean-cvar portfolio optimization in continuous time(2)
论文解析系列 Dynamic mean-lpm and mean-cvar portfolio optimization in continuous time(2)原创 2020-10-08 12:05:47 · 274 阅读 · 1 评论 -
【AP】Dynamic mean-lpm and mean-cvar portfolio optimization in continuous time(1)
论文解析系列 Dynamic mean-lpm and mean-cvar portfolio optimization in continuous time(1)原创 2020-10-07 19:52:40 · 469 阅读 · 2 评论 -
【AP】CVaR robust Mean-CVaR portfolio optimization(3)
论文解析系列 CVaR robust mean-CVaR portfolio(part 3)原创 2020-10-07 12:23:14 · 932 阅读 · 0 评论 -
【AP】CVaR robust Mean-CVaR portfolio optimization(2)
论文解析系列 CVaR robust mean-CVaR portfolio(part 2)原创 2020-10-06 20:18:05 · 746 阅读 · 0 评论 -
【AP】CVaR robust Mean-CVaR portfolio optimization(1)
论文解析系列 CVaR robust mean-CVaR portfolio(part 1)原创 2020-10-06 17:24:29 · 482 阅读 · 0 评论 -
【FinE】PortfolioCVaR实现CVaR投资组合优化分析
PortfolioCVaR原创 2020-10-06 15:38:11 · 2445 阅读 · 0 评论 -
【FinE】在险价值(VaR)计算
VaR值计算原创 2020-08-30 18:01:39 · 17504 阅读 · 2 评论 -
【FinE】正态分布和t分布下的CVaR
t分布和gaussian分布下的CVaR原创 2020-08-29 16:18:33 · 3211 阅读 · 1 评论