Supplying Electricity Plan of Multiobjective Average Conditional Value-at-Risk Model
Researchers and financial institutions have developed and implemented a variety of sophisticated risk models for market risk in trading portfolios. As a tool in optimization modeling, conditional value-at-risk (CVaR) has superior properties in many respects. It maintains consistency with VaR by yielding the same results in the limited settings where VaR computations are tractable, i. e., for normal distributions. Because many practical risk problems are multiobjective in loan portfolios of bank, supply electricity plan of Electricity Board and so on, it is important question to develop multiobjective risk model. This paper proposes a general multiobjective average conditional value-at-risk model with multiple losses and period. We introduce the concept of average α-CVaR for the case of multiple losses with random variable under the multiple confidence level vector oat period. The average α-CVaR indicates the conditional expected losses corresponding to the α-VaR. The problem of solving the minimal α-CVaR results in a nonlinear optimal problem, which another optimal problem based on weight is shown that its optimal solutions is the solutions. Finally, we build mifltiobjective average CVaR model to find out the robust period and portfolios for supplying electricity plan. The numerical results means that supplying electricity plan may be regulated with price and quantity to evade loss of risk.
Credit risk Loss functions α-CVaR Pareto efficient solutions
Zhiqing Meng Min Jiang
College of Business and Administration, Zhejiang University of Technology, China
国际会议
第八届武汉电子商务国际会议(The Eighth Wuhan International Conference on E-Business)
武汉
英文
2622-2627
2009-05-30（万方平台首次上网日期，不代表论文的发表时间）