Empirical Estimates in Economic and Financial Optimization Problems
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F12%3A00376758" target="_blank" >RIV/67985556:_____/12:00376758 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Empirical Estimates in Economic and Financial Optimization Problems
Original language description
Many applications from economic and nancial practice lead to optimization problems depending on a probability measure. A complete knowledge of the underlying measure is a necessary assumption to determine an exact optimal solution and an exact optimal value. Since this condition is not usually fullled, the solution is often determined using empirical data. Estimates of the optimal value and the optimal solution sets can be obtained by this approach only. Many eorts has been paid to the investigation ofthe above mentioned estimates. Especially the consistency and the convergence rate have been investigated. However, it was mostly done for classical problems and underlying distributions with thin tails. The aim of this paper is to analyze these estimates from the point of the distribution tails. To this end, first, we recall some known results. We recall stability results based on the Wasserstein metric corresponding to L1 norm and employ them to the case of heavy tails.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Bulletin of the Czech Econometric Society
ISSN
1212-074X
e-ISSN
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Volume of the periodical
19
Issue of the periodical within the volume
29
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
20
Pages from-to
50-69
UT code for WoS article
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EID of the result in the Scopus database
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