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科研机构
数学与系统科学研究... [29]
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期刊论文 [29]
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2022 [2]
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专题:数学与系统科学研究院
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Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options
期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 卷号: 62, 页码: 19
作者:
Shi, Ruoshi
;
Zhao, Yanlong
;
Bao, Ying
;
Peng, Cheng
收藏
  |  
浏览/下载:15/0
  |  
提交时间:2023/02/07
Counterparty credit exposure
VaR
CVaR
Sensitivity
Greeks
Optimal trade-off of integrated river basin water resources allocation considering water market: A bi-level multi-objective model with conditional value-at-risk constraints
期刊论文
COMPUTERS & INDUSTRIAL ENGINEERING, 2022, 卷号: 169, 页码: 17
作者:
Tu, Yan
;
Shi, Hongwei
;
Zhou, Xiaoyang
;
Lev, Benjamin
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  |  
浏览/下载:38/0
  |  
提交时间:2023/02/07
Integrated water resources management
River basin water resources allocation
CVaR
Water market
Bi-level multi-objective programming
Sample average approximation of CVaR-based hedging problem with a deep-learning solution
期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2021, 卷号: 56, 页码: 14
作者:
Peng, Cheng
;
Li, Shuang
;
Zhao, Yanlong
;
Bao, Ying
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  |  
浏览/下载:82/0
  |  
提交时间:2021/04/26
Conditional Value-at-Risk
Hedging strategies
Deep learning
Theoretical guarantee
Sample average approximation
Uniform convergence
Dynamics and spreading speed of a reaction-diffusion system with advection modeling West Nile virus
期刊论文
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 2021, 卷号: 493, 期号: 1, 页码: 24
作者:
Cheng, Chengcheng
;
Zheng, Zuohuan
收藏
  |  
浏览/下载:19/0
  |  
提交时间:2021/01/14
West Nile virus
Advection
Free boundary
Basic reproduction number
Vanishing-spreading
Asymptotic spreading speed
Decision Biases of Strategic Customers with Private Product-Value Information: An Experimental Study
期刊论文
PRODUCTION AND OPERATIONS MANAGEMENT, 2019, 卷号: 28, 期号: 5, 页码: 1305-1319
作者:
Song, Yanan
;
Zhao, Xiaobo
;
Zhu, Wanshan
;
Chen, Yefen
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  |  
浏览/下载:42/0
  |  
提交时间:2020/01/10
strategic customer
game
experiment
decision bias
Portfolio selection under different attitudes in fuzzy environment
期刊论文
INFORMATION SCIENCES, 2018, 卷号: 462, 页码: 278-289
作者:
Zhou, Xiaoyang
;
Wang, Jue
;
Yang, Xiangping
;
Lev, Benjamin
;
Tu, Yan
收藏
  |  
浏览/下载:32/0
  |  
提交时间:2018/10/07
Portfolio selection
Conservative-neutral-aggressive attitude
Fuzzy variable
Value at risk, epsilon-constraint method
Mean-risk analysis of wholesale price contracts with stochastic price-dependent demand
期刊论文
ANNALS OF OPERATIONS RESEARCH, 2017, 卷号: 257, 期号: 1-2, 页码: 491-518
作者:
Zhao, Yingxue
;
Choi, Tsan-Ming
;
Cheng, T. C. E.
;
Wang, Shouyang
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  |  
浏览/下载:14/0
  |  
提交时间:2018/07/30
Supply chain management
Contract risk
Wholesale price contract
Stochastic price-dependent demand
Risk aversion
Robust two-stage stochastic linear optimization with risk aversion
期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2017, 卷号: 256, 期号: 1, 页码: 215-229
作者:
Ling, Aifan
;
Sun, Jie
;
Xiu, Naihua
;
Yang, Xiaoguang
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  |  
浏览/下载:27/0
  |  
提交时间:2018/07/30
Uncertainty modeling
Stochastic programming
Robust optimization
Conditional value-at-risk
Semidefinite programming
Robust Novelty Detection via Worst Case CVaR Minimization
期刊论文
IEEE TRANSACTIONS ON NEURAL NETWORKS AND LEARNING SYSTEMS, 2015, 卷号: 26, 期号: 9, 页码: 2098-2110
作者:
Wang, Yongqiao
;
Dang, Chuangyin
;
Wang, Shouyang
收藏
  |  
浏览/下载:15/0
  |  
提交时间:2018/07/30
Conditional value-at-risk (CVaR)
kernel methods
novelty detection
robust programming
single-class support vector machine (SSVM)
基于VaR和ES调整的Sharpe比率及在基金评价中的实证研究
期刊论文
数理统计与管理, 2012, 卷号: 031, 期号: 004, 页码: 735
作者:
刘沛欣
;
田军
;
周勇
收藏
  |  
浏览/下载:8/0
  |  
提交时间:2020/01/10
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