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Financial hedging in two-stage sustainable commodity supply chains
期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2022, 卷号: 303, 期号: 2, 页码: 803-818
作者:
Wang, Moran
;
Guo, Xiaolong
;
Wang, Shouyang
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浏览/下载:10/0
  |  
提交时间:2023/02/07
Risk analysis
Financial hedging
Index-based price contract
Sustainable supply chain management
Competition
Sample average approximation of CVaR-based hedging problem with a deep-learning solution
期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2021, 卷号: 56, 页码: 14
作者:
Peng, Cheng
;
Li, Shuang
;
Zhao, Yanlong
;
Bao, Ying
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浏览/下载:82/0
  |  
提交时间:2021/04/26
Conditional Value-at-Risk
Hedging strategies
Deep learning
Theoretical guarantee
Sample average approximation
Uniform convergence
Optimal Hedging for Hydropower Operation and End-of-Year Carryover Storage Values
期刊论文
JOURNAL OF WATER RESOURCES PLANNING AND MANAGEMENT, 2019, 卷号: 145
作者:
Wang, Jian
;
Cheng, Chuntian
;
Wu, Xinyu
;
Shen, Jianjian
;
Cao, Rui
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  |  
浏览/下载:70/0
  |  
提交时间:2019/12/02
Optimal hedging
Hydropower
Carryover storage
Reservoir operation
Forecast uncertainty
Nonlinear programming
Mean-variance hedging with basis risk
期刊论文
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2019, 卷号: 35, 期号: 3, 页码: 704-716
作者:
Xue, Xiaole
;
Zhang, Jingong
;
Weng, Chengguo
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/11
basis risk
BSDE
Malliavin derivative
mean-variance analysis
optimal
hedging
stochastic LQ control
Optimal consumption-portfolio rules with biased beliefs
期刊论文
ECONOMICS LETTERS, 2018, 卷号: 173, 页码: 152-157
作者:
Hou, Shehong
;
Niu, Yingjie
;
Yang, Jinqiang
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浏览/下载:4/0
  |  
提交时间:2019/08/22
Biased beliefs
Overconfidence
Overextrapolation
Consumption
Asset allocation
Optimal portfolio choices and the determination of housing rents under housing market uncertainty
期刊论文
JOURNAL OF HOUSING ECONOMICS, 2018, 卷号: 41, 页码: 200-217
作者:
Fan, Gang-Zhi
;
Pu, Ming
;
Deng, Xiaoying
;
Ong, Seow Eng
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  |  
浏览/下载:3/0
  |  
提交时间:2019/08/22
Tenure choice
Resale risk
Reservation rent
Utility maximization
Incomplete markets
High Altitude Frogs (Rana kukonoris) Adopt a Diversified Bet-hedging Strategy in the Face of Environmental Unpredictability
期刊论文
Asian Herpetological Research , 2018, 卷号: 9, 期号: 1, 页码: 43-49
作者:
Gregory BROWN
;
Christopher R. FRIESEN
;
David A. PIKE
;
Lichun JIANG
;
Liqing PENG
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浏览/下载:47/0
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提交时间:2019/04/11
altitude
bet-hedging strategy
environmental quality
egg size
within-clutch variation
unpredictable environment
Optimal Operation of Danjiangkou Reservoir Using Improved Hedging Model and Considering the Effects of Historical Decisions
期刊论文
Journal of Water Resources Planning and Management, 2018, 卷号: Vol.144 No.1, 页码: 10
作者:
Sun, X.a,b
;
Ma, C.a
;
Lian, J.a
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  |  
浏览/下载:3/0
  |  
提交时间:2019/11/21
Historical decision effect
Improved hedging model
Parameter optimization method
Optimal operation decision
Danjiangkou Reservoir
Multiple water demands
South-to-north water transfer project (SNWTP)
Mean-variance hedging with basis risk
期刊论文
Applied Stochastic Models in Business and Industry, 2018
作者:
Xue X.
;
Zhang J.
;
Weng C.
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  |  
浏览/下载:2/0
  |  
提交时间:2019/12/11
basis risk
BSDE
Malliavin derivative
mean-variance analysis
optimal hedging
stochastic LQ control
Better than pre-committed optimal mean-variance policy in a jump diffusion market
期刊论文
MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2017, 卷号: 85, 期号: 3, 页码: 327-347
作者:
Shi, Yun
;
Li, Xun
;
Cui, Xiangyu
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  |  
浏览/下载:17/0
  |  
提交时间:2019/08/22
Mean field approach
Pre-committed optimal mean-variance policy
Jump diffusion market
Time consistency in efficiency
Semi-self-financing revised policy
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