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Risk Measures in Optimization Problems via Empirical Estimates
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SYSNO ASEP 0423826 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Ostatní články Název Risk Measures in Optimization Problems via Empirical Estimates Tvůrce(i) Kaňková, Vlasta (UTIA-B) RID Zdroj.dok. Acta Universitatis Carolinae. Oeconomica - ISSN 0323-066X
Roč. 7, č. 3 (2013), s. 162-177Poč.str. 16 s. Forma vydání Tištěná - P Jazyk dok. eng - angličtina Země vyd. CZ - Česká republika Klíč. slova static stochastic optimization problems ; risk measures ; empirical distribution function Vědní obor RIV AH - Ekonomie CEP GAP402/10/0956 GA ČR - Grantová agentura ČR GAP402/11/0150 GA ČR - Grantová agentura ČR GAP402/10/1610 GA ČR - Grantová agentura ČR Institucionální podpora UTIA-B - RVO:67985556 Anotace Economic and financial activities are often influenced simultaneously by a decision parameter and a random factor. Since mostly it is necessary to determine the decision parameter without knowledge of the realization of the random element, deterministic optimization problems depending on a probability measure often correspond to such situations. In applications the problem has to be very often solved on the data basis. It means that usually the “underlying” probability measure is replaced by empirical one. Great effort has been made to investigate properties of the corresponding (empirical) estimates; mostly under assumptions of “thin” tails and a linear dependence on the probability measure. The aim of this paper is to focus on the cases when these assumptions are not fulfilled. This happens usually just in economic and financial applications (see, e.g., Mandelbort 2003; Pflug and Römisch 2007; Rachev and Römisch 2002; Shiryaev 1999). Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2014
Počet záznamů: 1