Search results
- 1.0346165 - ÚTIA 2011 RIV CZ eng J - Journal Article
Kaňková, Vlasta
Empirical Estimates in Stochastic Optimization via Distribution Tails.
Kybernetika. Roč. 46, č. 3 (2010), s. 459-471. ISSN 0023-5954.
[International Conference on Mathematical Methods in Economy and Industry. České Budějovice, 15.06.2009-18.06.2009]
R&D Projects: GA ČR GA402/07/1113; GA ČR(CZ) GA402/08/0107; GA MŠMT(CZ) LC06075
Institutional research plan: CEZ:AV0Z10750506
Keywords : Stochastic programming problems * Stability * Wasserstein metric * L_1 norm * Lipschitz property * Empirical estimates * Convergence rate * Exponential tails * Heavy tails * Pareto distribution * Risk functional * Empirical quantiles
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.461, year: 2010
Permanent Link: http://hdl.handle.net/11104/0187260File Download Size Commentary Version Access 0346165.pdf 1 171.9 KB Publisher’s postprint open-access - 2.0346161 - ÚTIA 2011 RIV CZ eng J - Journal Article
Sladký, Karel
Identification of Optimal Policies in Markov Decision Processes.
Kybernetika. 46 2010, č. 3 (2010), s. 558-570. ISSN 0023-5954.
[International Conference on Mathematical Methods in Economy and Industry. České Budějovice, 15.06.2009-18.06.2009]
R&D Projects: GA ČR(CZ) GA402/08/0107; GA ČR GA402/07/1113
Institutional research plan: CEZ:AV0Z10750506
Keywords : finite state Markov decision processes * discounted and average costs * elimination of suboptimal policies
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.461, year: 2010
http://library.utia.cas.cz/separaty/2010/E/sladky-identification of optimal policies in markov decision processes.pdf
Permanent Link: http://hdl.handle.net/11104/0187257File Download Size Commentary Version Access 0346161.pdf 1 153 KB Publisher’s postprint open-access - 3.0315238 - ÚTIA 2009 RIV CZ eng J - Journal Article
Vácha, Lukáš - Vošvrda, Miloslav
Wavelets and Sentiment in the Heterogeneous Agents Model.
[Vlnková analýza a sentiment v modelech heterogenních agentů.]
Bulletin of the Czech Econometric Society. Roč. 15, č. 25 (2008), s. 41-56. ISSN 1212-074X
R&D Projects: GA ČR GP402/08/P207; GA ČR GA402/07/1113; GA ČR(CZ) GA402/06/0990
Institutional research plan: CEZ:AV0Z10750506
Keywords : heterogeneous agents model * market sentiment * Hurst exponent * wavelets
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2008/E/vacha-wavelets and sentiment in the heterogeneous agents model.pdf
Permanent Link: http://hdl.handle.net/11104/0165496 - 4.0314932 - ÚTIA 2009 RIV CZ eng J - Journal Article
Kuchyňka, Alexandr
An Empirical Application of a Two-Factor Model of Stochastic Volatility.
[Empirická aplikace dvoufaktorového modelu stochastické volatility.]
Prague Economic Papers. Roč. 17, č. 3 (2008), s. 243-253. ISSN 1210-0455. E-ISSN 2336-730X
R&D Projects: GA ČR GA402/07/1113; GA MŠMT(CZ) LC06075
Institutional research plan: CEZ:AV0Z10750506
Keywords : stochastic volatility * Kalman filter
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2008/E/kuchynka-an empirical application of a two-factor model of stochastic volatility.pdf
Permanent Link: http://hdl.handle.net/11104/0165294 - 5.0314404 - ÚTIA 2009 RIV CZ eng J - Journal Article
Šmíd, Martin
Price Tails in the Smith and Farmer's Model.
[Chvosty rozdělení ceny v Smithově a Farmerově modelu.]
Bulletin of the Czech Econometric Society. Roč. 15, č. 25 (2008), s. 31-40. ISSN 1212-074X
R&D Projects: GA ČR GA402/07/1113; GA ČR(CZ) GA402/06/1417
Institutional research plan: CEZ:AV0Z10750506
Keywords : limit order market * continuous double auction * price increments * fat tails * tail exponent
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2008/E/smid-price tails in the smith and farmer's model.pdf
Permanent Link: http://hdl.handle.net/11104/0164926 - 6.0309471 - ÚTIA 2009 RIV CZ eng J - Journal Article
Sladký, Karel
Growth Rates and Average Optimality in Risk-Sensitive Markov Decision Chains.
[Míry růstu a optimality v průměru v rizikových markovských rozhodovacích řetězcích.]
Kybernetika. Roč. 44, č. 2 (2008), s. 205-226. ISSN 0023-5954
R&D Projects: GA ČR(CZ) GA402/08/0107; GA ČR GA402/07/1113
Institutional research plan: CEZ:AV0Z10750506
Keywords : risk-sensitive Markov decision chains * average optimal policies * optimal growth rates
Subject RIV: BC - Control Systems Theory
Impact factor: 0.281, year: 2008
Permanent Link: http://hdl.handle.net/11104/0161594File Download Size Commentary Version Access 0309471.pdf 0 905.2 KB Publisher’s postprint open-access - 7.0309470 - ÚTIA 2009 RIV CZ eng J - Journal Article
Kaňková, Vlasta
Multistage Stochastic Programs via Autoregressive Sequences and Individual Probabiliy Constraints.
[Úlohy vícestupňového stochastického programování s autoregresivní náhodnou posloupností a individuálními pravděpodobnostním omezením.]
Kybernetika. Roč. 44, č. 2 (2008), s. 151-70. ISSN 0023-5954
R&D Projects: GA ČR GA402/07/1113
Institutional research plan: CEZ:AV0Z10750506
Keywords : multistage stochastic programming problem * individual probebility constraints * autoregressive sequence * Wasserstein metric * empirical estimates * multiobjective problems
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.281, year: 2008
Permanent Link: http://hdl.handle.net/11104/0161593File Download Size Commentary Version Access 0309470.pdf 0 780 KB Publisher’s postprint open-access - 8.0087986 - ÚTIA 2008 RIV CZ eng J - Journal Article
Houda, Michal
Role of Dependence in Chance-constrained and Robust Programming.
[Role závislosti v úlohách s pravděpodobnostními omezeními a v úlohách robustního programování.]
Acta Oeconomica Pragensia. Roč. 15, č. 4 (2007), s. 111-120. ISSN 0572-3043
R&D Projects: GA ČR GD402/03/H057; GA ČR GA402/07/1113
Institutional research plan: CEZ:AV0Z10750506
Keywords : stochastic programming * robust programming * weak dependence
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0149682 - 9.0087259 - ÚTIA 2008 RIV CZ eng J - Journal Article
Kaňková, Vlasta
Multistage Stochastic Programming via Autoregressive Sequences.
[Autoregresiní posloupnosti v úlohách vícestupňového stochastického programování.]
Acta Oeconomica Pragensia. Roč. 15, č. 4 (2007), s. 99-110. ISSN 0572-3043
R&D Projects: GA ČR GA402/07/1113; GA ČR(CZ) GA402/06/0990; GA ČR GD402/03/H057
Institutional research plan: CEZ:AV0Z10750506
Keywords : Economic proceses * Multistage stochastic programming * autoregressive sequences * individual probability constraints
Subject RIV: BB - Applied Statistics, Operational Research
Permanent Link: http://hdl.handle.net/11104/0149156 - 10.0086424 - ÚTIA 2008 RIV CZ eng J - Journal Article
Šmíd, Martin
On Uselessness of Limit Orders.
[O neužitečnosti limitních objednávek.]
Bulletin of the Czech Econometric Society. Roč. 2007, č. 24 (2007), s. 45-57. ISSN 1212-074X
R&D Projects: GA ČR GD402/03/H057; GA ČR GA402/07/1113; GA ČR(CZ) GA402/06/1417
Institutional research plan: CEZ:AV0Z10750506
Keywords : market microstructure * limit order market * portfolio selection
Subject RIV: AH - Economics
Permanent Link: http://hdl.handle.net/11104/0148695