Search results
- 1.0518579 - ÚTIA 2020 RIV CZ eng K - Conference Paper (Czech conference)
Kaňková, Vlasta
Mean-Risk Optimization Problem via Scalarization, Stochastic Dominance, Empirical Estimates.
Conference Proceedings. 37th International Conference on Mathematical Methods in Economics 2019. České Budějovice: University of South Bohemia in České Budějovice, Faculty of Economics, 2019 - (Houda, M.; Remeš, R.), s. 350-355. ISBN 978-80-7394-760-6.
[MME 2019: International Conference on Mathematical Methods in Economics /37./. České Budějovice (CZ), 11.09.2019-13.09.2019]
R&D Projects: GA ČR GA18-02739S
Institutional support: RVO:67985556
Keywords : Two-objective stochastic optimization problems * scalarization * stochastic dominance * empirical estimates
OECD category: Statistics and probability
http://library.utia.cas.cz/separaty/2019/E/kankova-0518579.pdf
Permanent Link: http://hdl.handle.net/11104/0303981 - 2.0502907 - ÚTIA 2019 RIV CZ eng J - Journal Article
Kaňková, Vlasta - Omelchenko, Vadym
Stochastic optimization problems with second order stochastic dominance constraints via Wasserstein metric.
Kybernetika. Roč. 54, č. 6 (2018), s. 1231-1246. ISSN 0023-5954.
[19th Joint Czech -German-Slovak Conference on Mathematical Methods in Economy and Industry (MMEI). Jindřichův Hradec, 04.06.2018-06.06.2018]
R&D Projects: GA ČR GA18-02739S
Institutional support: RVO:67985556
Keywords : Stochastic programming problems * Second order stochastic dominance constraints * Wasserstein metric * Stability * Relaxation * Scenario generation * Empirical estimates * Light-and heavy tailed distributions * Crossing
OECD category: Statistics and probability
Impact factor: 0.560, year: 2018
http://library.utia.cas.cz/separaty/2019/E/kankova-0502907.pdf
Permanent Link: http://hdl.handle.net/11104/0295272 - 3.0490685 - ÚTIA 2019 SK eng C - Conference Paper (international conference)
Kaňková, Vlasta
Second Order Stochastic Dominance Constraints in Multi-objective Stochastic Programming Problems.
Quantitative Methods in Economics: Multiple Criteria Decision Making XIX. Bratislava: University of Economics, Bratislava, 2018 - (Reiff, M.; Gežík, P.), s. 165-171. ISBN 978-80-89962-07-5.
[Quantitative Methods in Economics: Multiple Criteria Decision Making XIX. Trenčianské Teplice (SK), 23.05.2018-25.05.2018]
R&D Projects: GA ČR GA18-02739S
Institutional support: RVO:67985556
Keywords : stochastic multi-objective optimization problems * efficient solution * Wasserstein metric and L1 norm * Lipschitz property * second order stochastic dominance constraints * relaxation
OECD category: Applied Economics, Econometrics
http://library.utia.cas.cz/separaty/2018/E/kankova-0490685.pdf
Permanent Link: http://hdl.handle.net/11104/0286787 - 4.0485151 - ÚTIA 2018 RIV CZ eng J - Journal Article
Kaňková, Vlasta
Stability, Empirical Estimates and Scenario Generation in Stochastic Optimization - Applications in Finance.
Kybernetika. Roč. 53, č. 6 (2017), s. 1026-1046. ISSN 0023-5954
R&D Projects: GA ČR GA15-10331S
Institutional support: RVO:67985556
Keywords : stochastic programming * stochastic dominance * empirical estimates * financial applications
OECD category: Statistics and probability
Impact factor: 0.632, year: 2017
http://library.utia.cas.cz/separaty/2017/E/kankova-0485151.pdf
Permanent Link: http://hdl.handle.net/11104/0280355 - 5.0458120 - ÚTIA 2017 RIV NL eng J - Journal Article
Branda, Martin - Kopa, Miloš
DEA models equivalent to general Nth order stochastic dominance efficiency tests.
Operations Research Letters. Roč. 44, č. 2 (2016), s. 285-289. ISSN 0167-6377. E-ISSN 1872-7468
R&D Projects: GA ČR GA13-25911S; GA ČR GA15-00735S
Grant - others:GA ČR(CZ) GA15-02938S
Institutional support: RVO:67985556
Keywords : Nth order stochastic dominance efficiency * Data envelopment analysis * Convex NSD efficiency * NSD portfolio efficiency
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.657, year: 2016
http://library.utia.cas.cz/separaty/2016/E/branda-0458120.pdf
Permanent Link: http://hdl.handle.net/11104/0258933 - 6.0447994 - 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 - 7.0385930 - ÚTIA 2013 RIV CZ eng C - Conference Paper (international conference)
Kopa, Miloš
Value at Risk application to FSD portfolio efficiency testing.
Proceedings of Managing and Modelling of Financial Risks 2012. Ostrava: VŠB-Technická univerzita Ostrava, Ekonomická fakulta, 2012, s. 320-325. ISBN 978-80-248-2835-0.
[Managing and modeling of financial risks 2012. Ostrava (CZ), 10.09.2012-11.09.2012]
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : Value at Risk * first order stochastic dominance * portfolio efficiency
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2013/E/kopa-value at risk application to fsd portfolio efficiency testing.pdf
Permanent Link: http://hdl.handle.net/11104/0216178 - 8.0385928 - ÚTIA 2013 RIV CZ eng J - Journal Article
Kopa, Miloš - Tichý, T.
Concordance measures and second order stochastic dominance-portfolio efficiency analysis.
E+M. Ekonomie a management. Roč. 15, č. 4 (2012), s. 110-120. ISSN 1212-3609. E-ISSN 2336-5064
R&D Projects: GA ČR(CZ) GBP402/12/G097
Institutional support: RVO:67985556
Keywords : dependency * concordance * portfolio selection * second order stochastic dominance
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.633, year: 2012
http://library.utia.cas.cz/separaty/2013/E/kopa-concordance measures and second order stochastic dominance-portfolio efficiency analysis.pdf
Permanent Link: http://hdl.handle.net/11104/0217193 - 9.0379684 - ÚTIA 2013 RIV CZ eng C - Conference Paper (international conference)
Branda, Martin
Third-degree stochastic dominance and DEA efficiency - relations and numerical comparison.
Mathematical Methods in Economics 2011. Prague: Proffesional publishing, 2011, s. 1-6. ISBN 978-80-7431-058-4.
[Mathematical Methods in Economics 2011. Jánska Dolina (SK), 06.09.2011-09.09.2011]
R&D Projects: GA ČR GAP402/10/1610
Institutional research plan: CEZ:AV0Z10750506
Institutional support: RVO:67985556
Keywords : stochastic dominance * stochastic dominance efficiency * DEA efficiency * mean-risk efficiency
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2012/E/branda-third-degree stochastic dominance and dea effciency-relations and numerical comparison.pdf
Permanent Link: http://hdl.handle.net/11104/0210580 - 10.0376757 - ÚTIA 2013 RIV CZ eng J - Journal Article
Branda, M. - Kopa, Miloš
DEA-Risk Efficiency and Stochastic Dominance Efficiency of Stock Indices.
Finance a úvěr-Czech Journal of Economics and Finance. Roč. 62, č. 2 (2012), s. 106-124. ISSN 0015-1920. E-ISSN 0015-1920
R&D Projects: GA ČR GAP402/10/1610
Grant - others:GA ČR(CZ) GAP402/12/0558
Program: GA
Institutional research plan: CEZ:AV0Z10750506
Keywords : Data Envelopment Analysis * Risk measures * Index efficiency * Stochastic dominance
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.340, year: 2012
http://library.utia.cas.cz/separaty/2012/E/branda-dea-risk efficiency and stochastic dominance efficiency of stock indices.pdf
Permanent Link: http://hdl.handle.net/11104/0209078