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Ramsey Stochastic Model via Multistage Stochastic Programming
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SYSNO ASEP 0346983 Druh ASEP K - Konferenční příspěvek (lokální konf.) Zařazení RIV Stať ve sborníku Název Ramsey Stochastic Model via Multistage Stochastic Programming Tvůrce(i) Kaňková, Vlasta (UTIA-B) RID Zdroj.dok. 28th International Conference on Mathematical Methods in Economics 2010, Part II. - České Budějovice : University of South Bohemia in České Budějovice, Faculty of Economy, 2010 / Houda Michal ; Friebelová Jana - ISBN 978-80-7394-218-2
S. 328-333Poč.str. 6 s. Akce 28th International Conference on Mathematical Methods in Economics 2010 Datum konání 08.09.2010-10.09.2010 Místo konání České Budějovice Země CZ - Česká republika Typ akce EUR Jazyk dok. eng - angličtina Země vyd. CZ - Česká republika Klíč. slova Ramsey stochastic model ; Multistage stochastic programming ; Confidence intervals ; Autoregressive sequences ; Stability ; Empirical estimates Vědní obor RIV AH - Ekonomie CEP GAP402/10/0956 GA ČR - Grantová agentura ČR GA402/08/0107 GA ČR - Grantová agentura ČR GAP402/10/1610 GA ČR - Grantová agentura ČR CEZ AV0Z10750506 - UTIA-B (2005-2011) UT WOS 000287979900056 Anotace Ramsey model belongs to ``classical" economic dynamic models. It has been (1928)originally constructed (with a farmer interpretation)in a deterministic setting. Later this model has been generalized to a stochastic version. Time horizont in the original deterministic model as well as in modified stochastic one can be considered finite or infinite. The contribution deals with the stochastic model and finite horizont. However, in spite of the classical approach to analyze it we employ a stochastic programming technique. This approach gives a possibility to employ well known results on stability and empirical estimates also in the case of Ramsey model. However, first, we introduce some confidence intervals. To obtain the new assertions we restrict our consideration mostly to the case when the ``underlying" random element follows autoregressive (or at least Markov) sequence. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2011
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