Risk Measures in Optimization Problems via Empirical Estimates

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F13%3A00423826" target="_blank" >RIV/67985556:_____/13:00423826 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Risk Measures in Optimization Problems via Empirical Estimates
Original language description
Economic and financial activities are often influenced simultaneously by a decision parameter and a random factor. Since mostly it is necessary to determine the decision parameter without knowledge of the realization of the random element, deterministicoptimization problems depending on a probability measure often correspond to such situations. In applications the problem has to be very often solved on the data basis. It means that usually the ?underlying probability measure is replaced by empirical one. Great effort has been made to investigate properties of the corresponding (empirical) estimates; mostly under assumptions of ?thin tails and a linear dependence on the probability measure. The aim of this paper is to focus on the cases when these assumptions are not fulfilled. This happens usually just in economic and financial applications (see, e.g., Mandelbort 2003; Pflug and Römisch 2007; Rachev and Römisch 2002; Shiryaev 1999).
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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