探索风险管理工具

Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520) Pub Date : 2000-03-26 DOI:10.1109/CIFER.2000.844601

K. Ng, G. Sheblé

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引用次数: 5

摘要

运筹学工具差别很大。本文研究了几种能够处理不确定性的运筹学工具。它们包括敏感性分析、参数分析、均方差分析、随机线性规划、模糊线性规划和风险值(VaR)。此外，还根据适用性、时间和技术要求对这些工具进行了比较和对比。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Exploring risk management tools

Operations research tools vary significantly. In this paper, several operations research tools that can handle uncertainty are investigated. They include sensitivity analysis, parametric analysis, mean-variance analysis, stochastic linear programming, fuzzy linear programming, and value at risk (VaR). In addition, these tools are compared and contrasted based on their applicability, time, and technical requirements.

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Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520)

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