加权有限预期损失下的风险管理

IF 1.5 4区 经济学 Q3 BUSINESS, FINANCE
An Chen, Thai Nguyen
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引用次数: 0

摘要

我们提出并解决了加权有限预期损失(WLEL)约束下的最优资产配置问题。这一表述包含了具有有限预期损失的风险管理问题。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Risk management under weighted limited expected loss
We present and solve an optimal asset allocation problem under a weighted limited expected loss (WLEL) constraint. This formulation encompasses the risk management problem with a limited expected l...
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来源期刊
Quantitative Finance
Quantitative Finance 社会科学-数学跨学科应用
CiteScore
3.20
自引率
7.70%
发文量
102
审稿时长
4-8 weeks
期刊介绍: The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.
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