基于随机优化的量化风险管理的一些研究

doi:10.15960/j.cnki.issn.1007-6093.2025.03.007

摘要/Abstract

摘要： 风险管理在不确定性环境决策中常常起着重要作用。在量化风险管理中,评估和优化风险指标需要高效的计算技术和可靠的理论保证。本文介绍量化风险管理的几个主题,并回顾关于这些主题的一些研究和进展。我们考虑几个风险指标并研究涉及这些指标的决策模型,主要关注相关的计算技术和理论性质。我们说明随机优化作为一种强大的工具,可以用来有效处理这些问题。

关键词: 随机优化, 量化风险管理, 风险测度, 计算技术, 统计性质

Abstract: Risk management often plays an important role in decision making under uncertainty. In quantitative risk management, assessing and optimizing risk metrics requires efficient computing techniques and reliable theoretical guarantees. In this paper, we introduce several topics on quantitative risk management and review some of the recent studies and advancements on the topics. We consider several risk metrics and study decision models that involve the metrics, with a main focus on the related computing techniques and theoretical properties. We show that stochastic optimization, as a powerful tool, can be leveraged to effectively address these problems.

Key words: stochastic optimization, quantitative risk management, risk measure, computing technique, statistical property

中图分类号:

O221

胡照林. 基于随机优化的量化风险管理的一些研究[J]. 运筹学学报（中英文）, 2025, 29(3): 135-159.

HU Zhaolin. Some studies on stochastic optimization based quantitative risk management[J]. Operations Research Transactions, 2025, 29(3): 135-159.

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