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On the Conditional Value at Risk Based on the Laplace Distribution with Application in GARCH Model
Mathematics, 2022 In this article, the Laplace distribution is employed in lieu of the well-known normal distribution for finding better scalar values of risk. Explicit formulas for value-at-risk (VaR) and conditional value-at-risk (CVaR) are studied and used to manage ...
Malik Zaka Ullah +3 more
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Frontiers in Environmental Science, 2021 The heterogeneity of investor sentiment plays a key role in causing the asymmetry of information transmission patterns and transmission intensity between markets.
Shuaishuai Jia, Hao Dong, Haowen Yang
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Digital Health, 2023 Objective Continuous physiological measurements during a laboratory-based exercise test can provide physiological biomarkers, such as heart rate (HR) and oxygen uptake (V̇O 2 ) kinetics, that carry clinically relevant information.
Joren Buekers +6 more
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Радиационная гигиена, 2023 The Russian Law “On Radiation Safety of the Population” defines the effective dose as “the amount of exposure to ionizing radiation used as a measure of the risk of long-term consequences of human’s body exposure…” In turn, the Russian “Radiation Safety ...
L. V. Repin
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Methodology for Constructing an Experimental Investment Strategy Formed in Crisis Conditions
Economies, 2022 This article proposes a neoclassical stock market portfolio based on the principles of dynamic response and constant adaptation to the market. The construction of a neoclassical investment portfolio begins with the conceptual development of an adaptive ...
Vera Ivanyuk
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Energies, 2019 With the carbon reduction targets being set in the Paris Agreement on Climate Change, China is facing great pressure to meet its emission reduction commitment.
Yulei Xie +5 more
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Optimal Portfolio Allocation based on two Novel Risk Measures and Genetic Algorithm [PDF]
International Journal of Business and Development Studies, 2018 The problem of optimal portfolio selection has attracted a great attention in the finance and optimization field. The future stock price should be predicted in an acceptable precision, and a suitable model and criterion for risk and the expected return ...
S. Amir Ghoreishi, hamid khaloozadeh
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Uncertainty orders on the sublinear expectation space
Open Mathematics, 2016 In this paper, we introduce some definitions of uncertainty orders for random vectors in a sublinear expectation space. We all know that, under some continuity conditions, each sublinear expectation 𝔼 has a robust representation as the supremum of a ...
Tian Dejian, Jiang Long
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Development of an Econometric Model of Crisis and Assessment of the Crisis Risk
Mathematics, 2023 In this paper, the classification of crisis states and their dynamics is carried out. The asset crisis model is approximated and formalized. Invariant stationary components and the boundaries of crisis fluctuations are determined, which allows for ...
Vera Ivanyuk
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A New Approach to Risk Management in the Power Industry Based on Systems Theory
Energies, 2022 Contemporary risk management is based on statistical analysis. Such an approach has a few crucial disadvantages. First of all, it has limited applicability to new technological solutions.
Dariusz Gołȩbiewski +4 more
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