Search results
- 1.0447994 - ÚTIA 2016 RIV CZ eng J - Journal Article
Kaňková, Vlasta - Houda, Michal
Thin and heavy tails in stochastic programming.
Kybernetika. Roč. 51, č. 3 (2015), s. 433-456. ISSN 0023-5954
R&D Projects: GA ČR GA13-14445S
Institutional support: RVO:67985556
Keywords : stochastic programming problems * stability * Wasserstein metric * L1 norm * Lipschitz property * empirical estimates * convergence rate * linear and nonlinear dependence * probability and risk constraints * stochastic dominance
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.628, year: 2015
http://library.utia.cas.cz/separaty/2015/E/kankova-0447994.pdf
Permanent Link: http://hdl.handle.net/11104/0250230 - 2.0377917 - ÚTIA 2013 RIV SK eng C - Conference Paper (international conference)
Kaňková, Vlasta
Risk Measures via Heavy Tails.
Quantitative Methods in Economics (Multiple Criteria Decision Making XVI). Bratislava: Vydavatelstvo EKONÓM, 2012 - (Reiff, M.), s. 115-119. ISBN 978-80-225-3426-0.
[Quantitative Methods in Economics (Multiple Criteria Decision Making XVI). Bratislava (SK), 30.05.2012-01.06.2012]
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 * linear and nonlinear dependence * thin and heavz tails
Subject RIV: BB - Applied Statistics, Operational Research; AH - Economics (UTIA-B)
http://library.utia.cas.cz/separaty/2012/E/kankova-risk measures via heavy tails.pdf
Permanent Link: http://hdl.handle.net/11104/0209939