Search results
- 1.0423826 - ÚTIA 2014 RIV CZ eng J - Journal Article
Kaňková, Vlasta
Risk Measures in Optimization Problems via Empirical Estimates.
Acta Universitatis Carolinae. Oeconomica. Roč. 7, č. 3 (2013), s. 162-177. ISSN 0323-066X
R&D Projects: GA ČR GAP402/10/0956; GA ČR GAP402/11/0150; GA ČR GAP402/10/1610
Institutional support: RVO:67985556
Keywords : static stochastic optimization problems * risk measures * empirical distribution function
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2013/E/kankova-0423826.pdf
Permanent Link: http://hdl.handle.net/11104/0229886 - 2.0399099 - ÚTIA 2014 RIV CZ eng J - Journal Article
Sladký, Karel
Risk-Sensitive and Mean Variance Optimality in Markov Decision Processes.
Acta Oeconomica Pragensia. Roč. 7, č. 3 (2013), s. 146-161. ISSN 0572-3043
R&D Projects: GA ČR GAP402/10/0956; GA ČR GAP402/11/0150
Grant - others:AVČR a CONACyT(CZ) 171396
Institutional support: RVO:67985556
Keywords : Discrete-time Markov decision chains * exponential utility functions * certainty equivalent * mean-variance optimality * connections between risk-sensitive and risk-neutral models
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2013/E/sladky-0399099.pdf
Permanent Link: http://hdl.handle.net/11104/0226807 - 3.0388146 - ÚTIA 2013 RIV CZ eng J - Journal Article
Omelchenko, Vadym
Behavior and Convergence of Wasserstein Metric in the Framework of Stable Distributions.
Bulletin of the Czech Econometric Society. Roč. 2012, č. 30 (2012), s. 124-138. ISSN 1212-074X
R&D Projects: GA ČR GAP402/10/0956
Institutional research plan: CEZ:AV0Z10750506
Institutional support: RVO:67985556
Keywords : Wasserstein Metric * Stable Distributions * Empirical Distribution Function
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2013/E/omelchenko-behavior and convergence of wasserstein metric in the framework of stable distributions.pdf
Permanent Link: http://hdl.handle.net/11104/0217170 - 4.0387175 - ÚTIA 2013 RIV CZ eng J - Journal Article
Volf, Petr
On precision of optimization in the case of incomplete information.
Bulletin of the Czech Econometric Society. Roč. 19, č. 30 (2012), s. 170-184. ISSN 1212-074X
R&D Projects: GA ČR GAP402/10/0956
Institutional support: RVO:67985556
Keywords : stochastic optimization * censored data * Fisher information * product-limit estimator
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2013/SI/volf-on precision of optimization in the case of incomplete information.pdf
Permanent Link: http://hdl.handle.net/11104/0217950 - 5.0386933 - ÚTIA 2013 RIV CZ eng J - Journal Article
Kaňková, Vlasta
Empirical Estimates in Optimization Problems: Survey with Special Regard to Heavy Tails and Dependent Data.
Bulletin of the Czech Econometric Society. Roč. 19, č. 30 (2012), s. 92-111. ISSN 1212-074X
R&D Projects: GA ČR GAP402/10/0956; GA ČR GAP402/11/0150; GA ČR GAP402/10/1610
Institutional support: RVO:67985556
Keywords : Stochastic optimization * empirical estimates * thin and heavy tails * independent and weak dependent random samples
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2013/E/kankova-empirical estimates in optimization problems survey with special regard to heavy tails and dependent data.pdf
Permanent Link: http://hdl.handle.net/11104/0220215 - 6.0386849 - ÚTIA 2013 RIV CZ eng J - Journal Article
Sladký, Karel
Some Remarks on Stochastic Versions of the Ramsey Growth Model.
Bulletin of the Czech Econometric Society. Roč. 19, č. 29 (2012), s. 139-152. ISSN 1212-074X
R&D Projects: GA ČR GAP402/10/1610; GA ČR GAP402/10/0956; GA ČR GAP402/11/0150
Institutional support: RVO:67985556
Keywords : Economic dynamics * Ramsey growth model with disturbance * stochastic dynamic programming * multistage stochastic programs
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2013/E/sladky-some remarks on stochastic versions of the ramsey growth model.pdf
Permanent Link: http://hdl.handle.net/11104/0217951 - 7.0386463 - ÚTIA 2013 RIV CZ eng J - Journal Article
Šmíd, Martin
Unit Stratified Sampling as a Tool for Approximation of Stochastic Optimization Problems.
Bulletin of the Czech Econometric Society. Roč. 19, č. 30 (2012), s. 153-169. ISSN 1212-074X
R&D Projects: GA ČR GAP402/11/0150; GA ČR GAP402/10/0956; GA ČR GA402/09/0965
Institutional research plan: CEZ:AV0Z10750506
Institutional support: RVO:67985556
Keywords : Stochastic programming * approximation * stratified sampling
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2013/E/smid-unit stratified sampling as a tool for approximation of stochastic optimization problems.pdf
Permanent Link: http://hdl.handle.net/11104/0216183 - 8.0376758 - ÚTIA 2013 RIV CZ eng J - Journal Article
Houda, Michal - Kaňková, Vlasta
Empirical Estimates in Economic and Financial Optimization Problems.
Bulletin of the Czech Econometric Society. Roč. 19, č. 29 (2012), s. 50-69. ISSN 1212-074X
R&D Projects: GA ČR GAP402/10/1610; GA ČR GAP402/11/0150; GA ČR GAP402/10/0956
Institutional research plan: CEZ:AV0Z10750506
Keywords : stochastic programming * empirical estimates * moment generating functions * stability * Wasserstein metric * L1-norm * Lipschitz property * consistence * convergence rate * normal distribution * Pareto distribution * Weibull distribution * distribution tails * simulation
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2012/E/houda-empirical estimates in economic and financial optimization problems.pdf
Permanent Link: http://hdl.handle.net/11104/0209079 - 9.0372702 - ÚTIA 2012 RIV CZ eng J - Journal Article
Šmíd, Martin
Probabilistic properties of the continuous double auction.
Kybernetika. Roč. 48, č. 1 (2012), s. 50-82. ISSN 0023-5954
R&D Projects: GA ČR GAP402/10/1610; GA ČR GAP402/10/0956; GA ČR(CZ) GA402/06/1417
Institutional research plan: CEZ:AV0Z10750506
Keywords : continuous double auction * limit order market * distribution
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.619, year: 2012
http://library.utia.cas.cz/separaty/2012/E/smid-0372702.pdf
Permanent Link: http://hdl.handle.net/11104/0205955File Download Size Commentary Version Access 0372702.pdf 1 444.8 KB Publisher’s postprint open-access - 10.0367045 - ÚTIA 2013 RIV NL eng J - Journal Article
Vácha, Lukáš - Baruník, Jozef - Vošvrda, Miloslav
How do skilled traders change the structure of the market.
International Review of Financial Analysis. Roč. 23, č. 1 (2012), s. 66-71. ISSN 1057-5219. E-ISSN 1873-8079
R&D Projects: GA ČR GAP402/10/0956; GA ČR GP402/08/P207; GA ČR GA402/09/0965
Institutional research plan: CEZ:AV0Z10750506
Institutional support: RVO:67985556
Keywords : Heterogeneous agent model * Market structure * Skilled traders * Hurst exponent
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2012/E/vacha-how do skilled traders change the structure of the market.pdf
Permanent Link: http://hdl.handle.net/11104/0201836