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Modeling, measuring and managing risk
- 作者： Pflug, Georg Ch., 1951-
- 其他作者：
- 出版： Hackensack, N.J. : World Scientific
- 主題： Functionals--Statistical methods. , Risk assessment--Statistical methods , Risk management--Statistical methods. , Decision making--Statistical methods
- ISBN： 9789812707406 (hbk.) 、 9812707409 (hbk.)
- 資料類型: 圖書
- 內容註: Includes bibliographical references (p. 277-284) and index. Modeling uncertain outcomes -- The three Ms of decision making under uncertainty -- Probability models and scenario distributions -- Standard statistical parameters -- Measuring single-period risk -- Probability functionals and their properties -- Acceptability functionals and deviation risk functionals -- Conditional acceptability and risk mappings -- Classes of version-independent acceptability-type functionals -- Classes of version-independent deviation-type functionals -- Measuring multi-period risk -- Introduction to multi-period models -- Multi-period risk functionals : basic properties -- Classes of multi-period acceptability functionals -- Single-stage decision models -- Multi-stage decision models for financial management -- Value-of-information : standard and clairvoyant problems -- Efficient frontiers in multi-stage portfolio optimization -- A multi-stage insurance model -- Multi-stage decision models for electricity management -- Case study : mean-risk portfolio optimization of a municipal power utility.
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讀者標籤：
- 系統號： 005086122 | 機讀編目格式
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