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Cumulative Optimality in Risk-Sensitive and Risk-Neutral Markov Reward Chains
This contribution is devoted to risk-sensitive and risk-neutral optimality or average rewards) cannot reflect the variability-risk features of the problem. In this note we present necessary and sufficient ...
BB - Aplikovaná statistika, operační výzkum
- 2013 •
- D
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D - Stať ve sborníku
Risk-Sensitivity and Average Optimality in Markov and Semi-Markov Reward Processes
criteria cannot reflect the variability-risk features of the problem, we are interested (i.e. the so called risk-neutral case) we arrive at traditional optimality criteria-sensitivity and risk-neutral...
Applied Economics, Econometrics
- 2020 •
- D
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D - Stať ve sborníku
Determination of projects and companies value with possibility of dynamic multinomial flexibility on the real switch option basis
There is in the paper application of the real options with sequential decisions described on the Bellman optimality principle basis. Principles of valuation, risk-neutral probability approach, switch options, multinomial flexibility...
AH - Ekonomie
- 2005 •
- D
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D - Stať ve sborníku
Measuring Risk Structure Using the Capital Asset Pricing Model
of operational risk is over 50 %, however, in the neutral sector is this more dominant. the shares of operational and financial risks. This methodological tool will support managers while monitoring the risk struc...
Public administration
- 2015 •
- JSC •
- Link
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JSC - Článek v periodiku v databázi SCOPUS
Výsledek na webu
Risk-Sensitive and Risk-Neutral Optimality in Markov Decision Chains; a Unified Approach
-neutral and risk-sensitive models will be presented and connections and similarity is evaluated by an exponential utility function (so-called risk-sensitive model) with a givenrisk sensitivity coefficient. If the risk<...
BB - Aplikovaná statistika, operační výzkum
- 2012 •
- D
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D - Stať ve sborníku
An estimate of risk neutral density based on european option prices
The proposed estimate of risk neutral density based on european option prices is applied on the observed option prices on the DAX.
BB - Aplikovaná statistika, operační výzkum
- 2004 •
- D
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D - Stať ve sborníku
Risk-sensitive and Mean Variance Optimality in Continuous-time Markov Decision Chains
processes is evaluated by an exponential utility function with a given risk sensitivitycoefficient (so-called risk-sensitive models). If the risk sensitivity coefficient equals zero (risk-neutral case) we...
Economic Theory
- 2018 •
- D
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D - Stať ve sborníku
Distributions implied by exchange traded options: a ghost's smile?
the risk-neutral distributions implied by option prices have a widespread use, but their interpretation depends strongly on the estimation method....
BB - Aplikovaná statistika, operační výzkum
- 2001 •
- Vx
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Vx - Nezařazeno - Výzkumná zpráva obsahující utajované informace (takový výsledek lze do RIV vložit pouze v případě, že zpráva obsahuje utajované informace a pole R12 = U), nebo souhrnná výzkumná zpráva
Neutral Traffic Information on Variable Information Board
Into the equipment for traffic information system belongs variable information boards placed over the highway. If there isn?t any traffic event on the road in traffic direction, then there is neutral traffic information inserted on ...
JO - Pozemní dopravní systémy a zařízení
- 2009 •
- D
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D - Stať ve sborníku
Neutral Traffic Information on Variable Information Board
Into the equipment for traffic information system belongs variable information boards placed over the highway. If there isn?t any traffic event on the road in traffic direction, then there is neutral traffic information inserted on ...
JO - Pozemní dopravní systémy a zařízení
- 2009 •
- D
Rok uplatnění
D - Stať ve sborníku
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