Mean-Risk Optimization Problem via Scalarization, Stochastic Dominance, Empirical Estimates

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F19%3A00518579" target="_blank" >RIV/67985556:_____/19:00518579 - 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
Mean-Risk Optimization Problem via Scalarization, Stochastic Dominance, Empirical Estimates
Original language description
Many economic and financial situations depend simultaneously on a random element and on a decision parameter. Mostly it is possible to influence the above mentioned situation by an optimization model depending on a probability measure. We focus on a special case of one-stage two objective stochastic “Mean-Risk problem”. Of course to determine optimal solution simultaneously with respect to the both criteria is mostly impossible. Consequently, it is necessary to employ some approaches. A few of them are known (from the literature), however two of them are very important: first of them is based on a scalarizing technique and the second one is based on the stochastic dominance. First approach has been suggested (in special case) by Markowitz, the second approach is based on the second order stochastic dominance. The last approach corresponds (under some assumptions) to partial order in the set of the utility functions.nThe aim of the contribution is to deal with the both main above mentioned approaches. First, we repeat their properties and further we try to suggest possibility to improve the both values simultaneously with respect to the both criteria. However, we focus mainly on the case when probability characteristics has to be estimated on the data base.
Czech name
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Czech description
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Project
<a href="/en/project/GA18-02739S" target="_blank" >GA18-02739S: Stochastic Optimization in Economic Processes</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Conference Proceedings. 37th International Conference on Mathematical Methods in Economics 2019
ISBN
978-80-7394-760-6
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
350-355
Publisher name
University of South Bohemia in České Budějovice, Faculty of Economics
Place of publication
České Budějovice
Event location
České Budějovice
Event date
Sep 11, 2019
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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