نتایج جستجو برای: conditional value
تعداد نتایج: 786755 فیلتر نتایج به سال:
We examine the stability of a portfolio management model based on the conditional valueat-risk (CVaR) measure; the model controls risk exposure of international investment portfolios. We use a moment-matching method to generate discrete distributions (scenario sets) of asset returns and exchange rates so that their statistical properties match corresponding values estimated from historical data...
In this paper, we propose a multivariate quantile regression method which enables localized analysis on conditional quantiles and global comovement analysis on conditional ranges for high-dimensional data. The proposed method, hereafter referred to as FActorisable Sparse Tail Event Curves, or FASTEC for short, exploits the potential factor structure of multivariate conditional quantiles through...
We give the exposition of a generalized symmetry approach to reduction of initial value problems for nonlinear evolution equations in one spatial variable. Using this approach we classify the initial value problems for third-order evolution equations that admit reduction to Cauchy problems for systems of two ordinary differential equations. These reductions are shown to correspond to higher con...
In the portfolio optimization, the goal is to distribute the fixed capital on a set ofinvestment opportunities to maximize return while managing risk. Risk and return are quantiti es that are used as input parameters for the optimal allocation of the capital in the suggested models. But these quantities are not known at the time of the ...
In extreme value theory, the extreme-value index is a parameter that controls the behavior of a cumulative distribution function in its right tail. Estimating this parameter is thus the first step when tackling a number of problems related to extreme events. In this paper, we introduce an estimator of the extreme-value index in the presence of a random covariate when the response variable is ri...
The value of learning an uncertain input in a decision model can be quantified by its partial expected value of perfect information (EVPI). This is commonly estimated via a 2-level nested Monte Carlo procedure in which the parameter of interest is sampled in an outer loop, and then conditional on this sampled value, the remaining parameters are sampled in an inner loop. This 2-level method can ...
The value of learning an uncertain input in a decision model can be quantified by its partial expected value of perfect information (EVPI). This is commonly estimated via a two level nested Monte Carlo procedure in which the parameter of interest is sampled in an outer loop, and then conditional on this sampled value the remaining parameters are sampled in an inner loop. This two level method c...
OBJECTIVE The authors evaluated the use of conditional cash transfers as an HIV and sexually transmitted infection prevention strategy to incentivise safe sex. DESIGN An unblinded, individually randomised and controlled trial. SETTING 10 villages within the Kilombero/Ulanga districts of the Ifakara Health and Demographic Surveillance System in rural south-west Tanzania. PARTICIPANTS The a...
In this study, we consider the situation where contraints are made on the domains of two random variables whose joint copula is an extreme value model. We introduce a new measure which characterize these conditional dependence. We proved that every bivariate extreme value copulas is totally characterized by a conditional dependence function. Every twodimensional distribution is also shown to be...
Abstract: In this paper , for the nonlinear Cahn-Hilliard equation, we give its symmetry group by the approximate generalized conditional symmetry. As the application of approximate generalized conditional symmetry, the initial-value problem of the partial differential equations can be reduced to perturbed initial-value problem for a system of perturbed first-order ordinary differential equatio...
نمودار تعداد نتایج جستجو در هر سال
با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید