Empirical Estimates in Economic and Financial Problems via Heavy Tails

0380774 - ÚTIA 2013 RIV CZ eng K - Konferenční příspěvek (tuzemská konf.)
Kaňková, Vlasta
Empirical Estimates in Economic and Financial Problems via Heavy Tails.
Proceedings of 30th International Conference Mathematical Methods in Economics 2012. Karviná: Silesian University in Opava, School of Busines Administration in Karviná, 2012 - (Ramík, J.; Stavárek, D.), s. 396-401. ISBN 978-80-7248-779-0.
[30th International Conference Mathematical Methods in Economics 2012. Karviná (CZ), 11.09.2012-13.09.2012]
Grant CEP: GA ČR GAP402/10/0956; GA ČR GAP402/11/0150; GA ČR GAP402/10/1610
Institucionální podpora: RVO:67985556
Klíčová slova: stochastic optimization problems * empirical estimates * thin and heavy tailed distributions * stable distribution * Pareto distribution * Lipschitz property
Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum
http://library.utia.cas.cz/separaty/2012/E/Kankova-empirical estimates in economic and financial problems via heavy tails.pdf

Optimization problems depending on a probability measure correspond to many economic and financial applications. Complete knowledge of this measure is necessary to solve exactly these problems. Since this condition is fulfilled only seldom, the problem has to be usually solved on the data basis to obtain satistical estimates of an optimal value and optimal solutions. Great effort has been paid to investigate properties of these estimates; first under assumptions of disribution with thin tails and linear dependence on the probability measure. Recently, it has appeared an investigation in the case of nonlinear dependence on the probability measure and heavy tailed distributions with shape parameter greater two. We focus on the case of the stable and Pareto distributions with a shape parameter in the inteval (1, 2).
Trvalý link: http://hdl.handle.net/11104/0211398