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

Identifikátory výsledku

  • Kód výsledku v 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>

  • Výsledek na webu

  • DOI - Digital Object Identifier

Alternativní jazyky

  • Jazyk výsledku

    angličtina

  • Název v původním jazyce

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

  • Popis výsledku v původním jazyce

    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.

  • Název v anglickém jazyce

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

  • Popis výsledku anglicky

    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.

Klasifikace

  • Druh

    D - Stať ve sborníku

  • CEP obor

  • OECD FORD obor

    10103 - Statistics and probability

Návaznosti výsledku

  • Projekt

    <a href="/cs/project/GA18-02739S" target="_blank" >GA18-02739S: Stochastická optimalizace v ekonomických procesech</a><br>

  • Návaznosti

    I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Ostatní

  • Rok uplatnění

    2019

  • Kód důvěrnosti údajů

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

Údaje specifické pro druh výsledku

  • Název statě ve sborníku

    Conference Proceedings. 37th International Conference on Mathematical Methods in Economics 2019

  • ISBN

    978-80-7394-760-6

  • ISSN

  • e-ISSN

  • Počet stran výsledku

    6

  • Strana od-do

    350-355

  • Název nakladatele

    University of South Bohemia in České Budějovice, Faculty of Economics

  • Místo vydání

    České Budějovice

  • Místo konání akce

    České Budějovice

  • Datum konání akce

    11. 9. 2019

  • Typ akce podle státní příslušnosti

    WRD - Celosvětová akce

  • Kód UT WoS článku