Risk Measures in Optimization Problems via Empirical Estimates

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Risk Measures in Optimization Problems via Empirical Estimates

Popis výsledku v původním jazyce

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).

Název v anglickém jazyce

Risk Measures in Optimization Problems via Empirical Estimates

Popis výsledku anglicky

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).

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název periodika

Acta Universitatis Carolinae. Oeconomica

ISSN

0323-066X

e-ISSN

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Svazek periodika

7

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

16

Strana od-do

162-177

Kód UT WoS článku

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EID výsledku v databázi Scopus

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