Titlebook: Probabilistic Constrained Optimization; Methodology and Appl Stanislav P. Uryasev Book 2000 Springer-Verlag US 2000 Computer.Finance.Multim

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閃光東本

Book 2000ding strategies for financial derivatives(options). ..Audience:. The book is a valuable source of information forfaculty, students, researchers, and practitioners in financialengineering, operation research, optimization, computer science, andrelated areas.

功多汁水

1571-568X ptimal trading strategies for financial derivatives(options). ..Audience:. The book is a valuable source of information forfaculty, students, researchers, and practitioners in financialengineering, operation research, optimization, computer science, andrelated areas.978-1-4419-4840-3978-1-4757-3150-7Series ISSN 1571-568X

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1571-568X y, and the environment. Recently,significant advances have been made in sensitivity analysis andoptimization of probabilistic functions, which is the basis forconstruction of new efficient approaches. This book presents the stateof the art in the theory of optimization of probabilistic functionsand

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Approximation of Value-at-Risk Problems with Decision Rules,rom the class of bounded measurable functions ... Both problems are approximated by sequences of finite dimensional extremum problems with discrete measures and with increasing dimensions. Convergence conditions for optimal values and solutions of both problems are presented.

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Introduction to the Theory of Probabilistic Functions and Percentiles (Value-at-Risk),R risk measure has more attractive properties compared to VaR. This introductory paper gives basic definitions and reviews several topics:.The emphasis of this paper is on issues which have been relatively recently developed.