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浏览/检索结果: 共6条，第1-6条 帮助 已选(0)清除 条数/页：5101520253035404550556065707580859095100   排序方式：请选择作者升序作者降序题名升序题名降序发表日期升序发表日期降序提交时间升序提交时间降序 Satisfying Bank Capital Requirements: A Robustness Approach in a Modified Roy Safety-First Framework 期刊论文 MATHEMATICS, 2019, 卷号: 7 作者:  Mills, Ebenezer Fiifi Emire Atta;  Yu, Bo;  Zeng, Kailin 收藏  |  浏览/下载：7/0  |  提交时间：2019/12/02 robust optimization  capital to risk asset ratio  chance constraint  safety-first principle  Basel III  capital requirements   On regularized mean-variance-CVaR-skewness-kurtosis portfolio selection strategy 会议论文 PROCEEDINGS OF THE 9TH (2017) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, 2017-01-01 作者:  Atta Mills, Fiifi Emire Ebenezer;  Yu Bo;  Yu Jie 收藏  |  浏览/下载：3/0  |  提交时间：2019/12/02 higher moments  mean-variance-CVaR-skewness-kurtosis  portfolio selection  portfolio stability   SCALED AND STABLE MEAN-VARIANCE-EVaR PORTFOLIO SELECTION STRATEGY WITH PROPORTIONAL TRANSACTION COSTS 期刊论文 JOURNAL OF BUSINESS ECONOMICS AND MANAGEMENT, 2017, 卷号: 18, 页码: 561-584 作者:  Atta Mills, Ebenezer Fiifi Emire;  Yu, Bo;  Yu, Jie 收藏  |  浏览/下载：10/0  |  提交时间：2019/12/03 Value-at-Risk  transaction costs  estimation risk  portfolio optimization  scaled and stabilized portfolio  downside risk   Research on regularized mean-variance portfolio selection strategy with modified Roy safety-first principle 期刊论文 SPRINGERPLUS, 2016, 卷号: 5, 页码: 919 作者:  Atta Mills, Ebenezer Fiifi Emire;  Yan, Dawen;  Yu, Bo;  Wei, Xinyuan 收藏  |  浏览/下载：4/0  |  提交时间：2019/12/09 Mean-risk portfolio  Safety-first  Stable portfolio  Sparse portfolio   On meeting capital requirements with a chance-constrained optimization model 期刊论文 SPRINGERPLUS, 2016, 卷号: 5, 页码: 500 作者:  Atta Mills, Ebenezer Fiifi Emire;  Yu, Bo;  Gu, Lanlan 收藏  |  浏览/下载：4/0  |  提交时间：2019/12/09 Capital to risk asset ratio  Basel accord  CreditMetrics  Chance constraint   Precise large deviation results for sums of sub-exponential claims in a size-dependent renewal risk model 期刊论文 STATISTICS & PROBABILITY LETTERS, 2016, 卷号: 114, 页码: 6-13 作者:  Shen, Xinmei;  Xu, Menghao;  Atta Mills, Ebenezer Fiifi Emire 收藏  |  浏览/下载：5/0  |  提交时间：2019/12/09 Renewal risk model  Size-dependent  Sub-exponential distribution  Large deviations