کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
400265 | 1438806 | 2007 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Spatial energy market risk analysis using the semivariance risk measure
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موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
هوش مصنوعی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The paper concentrates on the analysis of semivariance (SV) as a market risk measure for market risk analysis of mean–semivariance (MSV) portfolios. The advantage of MSV over variance as a risk measure is that MSV provides a more logical measure of risk than the MV method. In addition, the relationship of the SV with the lower partial movements is discussed. A spatial risk model is proposed as a basis of risk assessment for short-term energy markets. Transaction costs and other practical constraints are also included. A case study is provided to show the successful application of the model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Electrical Power & Energy Systems - Volume 29, Issue 8, October 2007, Pages 600–608
Journal: International Journal of Electrical Power & Energy Systems - Volume 29, Issue 8, October 2007, Pages 600–608
نویسندگان
Zuwei Yu,