نتایج جستجو برای: locally risk minimizing approach
تعداد نتایج: 2257710 فیلتر نتایج به سال:
One of the remaining challenges when reconstructing a surface from a finite sample is recovering non-smooth surface features like sharp edges. There is practical evidence showing that a two step approach could be an aid to this problem, namely, first computing a polyhedral reconstruction isotopic to the sampled surface, and secondly minimizing the absolute Gaussian curvature of this reconstruct...
We investigate the stochastic dynamics of bank liquidity parameters such as liquid assets and nett cash outflow in relation to the global financial crisis. These parameters enable us to determine the liquidity coverage ratio that is one of themetrics used in ratio analysis to measure bank liquidity. In this regard, numerical results show that bank behavior related to liquidity was highly procyc...
In this paper, a new approach to risk minimizing vehicle routing and scheduling problem is presented. Forwarding agents or companies have two main concerns for the collection of high-risk commodities like cash or valuable commodities between the central depot and the customers: one; because of the high value of the commodities transported, the risk of ambush and robbery are very high. Two; the ...
In this paper the performance of locally risk-minimizing delta hedge strategies for European options in stochastic volatility models is studied from an experimental as well as from an empirical perspective. These hedge strategies are derived for a large class of diffusion-type stochastic volatility models, and they are as easy to implement as usual delta hedges. Our simulation results on model ...
We introduce a new criterion to perform hedging of contingent claims in incomplete markets. Our approach is close to the one proposed by Schweizer [Stochastic Process. Appl., 37 (1991), pp. 339– 363] in that it uses the concept of locally risk-minimizing strategies. But we aim at being more general by defining the local risk as a general, nonnecessarily quadratic, convex function of the local c...
abstract regarding the imprecise or fuzzy data on the agriculture activities, applying models based on fuzzy data may be useful. in line with this condition this study tries to compare the ability of possiblistic programming approach in developing optimal solution with fuzzy and deterministic programming. to get this objective a data set obtained from 90 farmers of kohgilooye region, gathered i...
the purpose of this study is estimation of daily value at risk (var) for total index of tehran stock exchange using parametric, nonparametric and semi-parametric approaches. conditional and unconditional coverage backtesting are used for evaluating the accuracy of calculated var and also to compare the performance of mentioned approaches. in most cases, based on backtesting statistics results, ...
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