Stability, Empirical Estimates and Scenario Generation in Stochastic Optimization - Applications in Finance

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F17%3A00485151" target="_blank" >RIV/67985556:_____/17:00485151 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.14736/kyb-2017-6-1026" target="_blank" >http://dx.doi.org/10.14736/kyb-2017-6-1026</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.14736/kyb-2017-6-1026" target="_blank" >10.14736/kyb-2017-6-1026</a>

Result language

angličtina

Original language name

Stability, Empirical Estimates and Scenario Generation in Stochastic Optimization - Applications in Finance

Original language description

Economic and financial processes are mostly simultaneously influuenced by a random factor and a decision parameter. While the random factor can be hardly influenced, the decision parameter can be usually determined by a deterministic optimization problem depending on a corresponding probability measure. However, in applications the „underlying“ probability measure is often a little different, replaced by empirical one determined on the base of data or even (for numerical reason) replaced by simpler (mostly discrete) one. Consequently, real one and approximate one correspond to applications. In the paper we try to investigate their relationship. To this end we employ the results on stability based on the Wasserstein metric and L1 norm, their applications to empirical estimates and scenario generation. Moreover, we apply the achieved new results to simple financial applications. The corresponding model will a problem of stochastic programming.

Czech name

—

Czech description

—

Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

10103 - Statistics and probability

Project

<a href="/en/project/GA15-10331S" target="_blank" >GA15-10331S: Dynamic modeling of mortgage porkredtfolio risk</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2017

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Kybernetika

ISSN

0023-5954

e-ISSN

—

Volume of the periodical

53

Issue of the periodical within the volume

6

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

21

Pages from-to

1026-1046

UT code for WoS article

000424732300005

EID of the result in the Scopus database

2-s2.0-85040725398