A study on optimal share pledge rate based on bilateral risk-CVaR of pledgee
This paper proposes the optimal pledge rate model based on the pledgee's bilateral risk-CVaR and dual-objective planning. First, a bilateral risk-CVaR model is constructed, for which a nonparametric kernel estimation method is presented, with a comparative analysis of the efficient frontier for...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2023-05-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844023027998 |