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金属研究所 [9]
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期刊论文 [23]
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The time-varying causal relationship between the Bitcoin market and internet attention
期刊论文
Financial Innovation, 2021, 卷号: 7, 期号: 1
作者:
Zhang,Xun
;
Lu,Fengbin
;
Tao,Rui
;
Wang,Shouyang
收藏
  |  
浏览/下载:32/0
  |  
提交时间:2021/10/26
Bitcoin
Internet attention
Google trends
Time-varying granger causality
Multiple bubbles test
G11
G15
C15
Arrow-Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting
期刊论文
MATHEMATICAL FINANCE, 2019, 卷号: 29, 期号: 3, 页码: 898-927
作者:
Jin, Hanqing
;
Xia, Jianming
;
Zhou, Xun Yu
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  |  
浏览/下载:79/0
  |  
提交时间:2020/01/10
Arrow-Debreu equilibrium
comonotone Pareto optimum
price equilibrium with transfers
probability weighting
rank-dependent utility
state-price density
G11
Success factors and complex dynamics of crowdfunding: An empirical research on Taobao platform in China
期刊论文
Electronic Markets, 2019, 卷号: 29, 期号: 2, 页码: 187-199
作者:
Xie, Kefan
;
Liu, Zimei
;
Chen, Long*
;
Zhang, Weiyong
;
Liu, Sishi
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  |  
浏览/下载:14/0
  |  
提交时间:2019/12/04
China
Crowdfunding
Electronic markets
Computer simulation
Success factors
Complex dynamics
G11
G17
M13
Success factors and complex dynamics of crowdfunding: An empirical research on Taobao platform in China
期刊论文
ELECTRONIC MARKETS, 2019, 卷号: 29, 期号: 2
作者:
Xie, Kefan
;
Liu, Zimei
;
Chen, Long
;
Zhang, Weiyong
;
Liu, Sishi
收藏
  |  
浏览/下载:9/0
  |  
提交时间:2019/12/05
China
Crowdfunding
Electronic markets
Computer simulation
Success factors
Complex dynamics
G11
G17
M13
Dynamic mean-VaR portfolio selection in continuous time
期刊论文
QUANTITATIVE FINANCE, 2017, 卷号: 17, 期号: 10, 页码: 1631-1643
作者:
Zhou, Ke
;
Gao, Jiangjun
;
Li, Duan
;
Cui, Xiangyu
收藏
  |  
浏览/下载:6/0
  |  
提交时间:2019/08/22
Continuous time models
Martingales
Portfolio optimization
Risk management
Value at risk
G11
C61
Recursive risk measures under regime switching applied to portfolio selection
期刊论文
QUANTITATIVE FINANCE, 2017, 卷号: 17, 页码: 1457-1476
作者:
Chen, Zhiping
;
Liu, Jia
;
Hui, Yongchang
收藏
  |  
浏览/下载:5/0
  |  
提交时间:2019/11/26
Regime switching
Time consistency
Dynamic portfolio selection
C61
Conditional value-at-risk
Factor model
Recursive risk measure
G11
The complementary role of cross-sectional and time-series information in forecasting stock returns
期刊论文
AUSTRALIAN JOURNAL OF MANAGEMENT, 2017, 卷号: 42, 页码: 113-139
作者:
Zhou, Qing
;
Faff, Robert
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  |  
浏览/下载:8/0
  |  
提交时间:2019/11/26
forecasting
C53
Combination
out-of-sample
C58
complementarity
stock returns
G12
G11
Corporate hedging, firm focus and firm size: the case of REITs
期刊论文
Managerial Finance, 2017, 卷号: Vol.43 No.3, 页码: 313-330
作者:
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  |  
浏览/下载:8/0
  |  
提交时间:2019/12/31
REITs
Firm size
Hedging
Firm focus
G11
G32
Optimal life insurance with no-borrowing constraints: duality approach and example
期刊论文
SCANDINAVIAN ACTUARIAL JOURNAL, 2016, 期号: 9, 页码: 793-816
作者:
Zeng, Xudong
;
Carson, James M.
;
Chen, Qihong
;
Wang, Yuling
收藏
  |  
浏览/下载:5/0
  |  
提交时间:2019/08/22
portfolio choice
constraint
life insurance
martingale
duality approach
D91
G11
Performance ratio-based coherent risk measure and its application
期刊论文
QUANTITATIVE FINANCE, 2016, 卷号: 16, 期号: [db:dc_citation_issue], 页码: 681-693
作者:
Chen, Zhiping
;
Hu, Qianhui
;
Lin, Ruiyue
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/02
C44
Coherent risk measure
Performance ratio
D81
Portfolio optimization
Acceptance set
G11
Transaction costs
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