| 任凤英.基于f-散度的一致风险度量[J].,2013,53(5):772-776 |
| 基于f-散度的一致风险度量 |
| Coherent risk measure based on f-divergence |
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| DOI：10.7511/dllgxb201305025 |
| 中文关键词: 一致风险度量 凸风险度量 一致熵风险度量 一致f-散度风险度量 |
| 英文关键词: coherent risk measure convex risk measure coherent entropy risk measure coherent f-divergence risk measure |
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| 中文摘要: |
| 进一步研究了带有熵约束的一致风险度量,鉴于它的许多良好性质,提出了带有f-散度约束的一致风险度量,获得了一大组可以灵活选取的风险度量,并且给出了一致风险度量理论中可接受集的控制方法．另外,讨论了将这类风险度量直接用于优化问题的优点以及它们的稳健化处理方法,得到了一致风险度量的新的表现形式,此形式是CVaR的上界,在应用中是更易处理的． |
| 英文摘要: |
| The investigation for the coherent risk measures with entropy constraints is conducted, and because it has many good properties, the coherent risk measure with f-divergence constraints is presented. The study obtains a group of flexible risk measures and the methods to control the acceptable set of the coherent risk measure theory. In addition, its advantages used directly in optimization problems and the robustness of method are discussed. The new expression of coherent risk measure is obtained. It is the upper bound of CVaR and more tractable in applications. |
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