Stability, empirical estimates and scenario generation in stochastic optimization - applications in finance
Economic and financial processes are mostly simultaneously influenced 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, repla…
Kreatur
- Kaňková, Vlasta
Suġġett
- stochastic programming problems
- probability constraints
- stochastic dominance
- stability
- Wasserstein metric
- L1 norm
- Lipschitz property
- empirical estimates
- scenario
- error approximation
- …
Tip ta' oġġett
- model:article
Kreatur
- Kaňková, Vlasta
Suġġett
- stochastic programming problems
- probability constraints
- stochastic dominance
- stability
- Wasserstein metric
- L1 norm
- Lipschitz property
- empirical estimates
- scenario
- error approximation
- …
Tip ta' oġġett
- model:article
Istituzzjoni fornitriċi
Aggregatur
Dikjarazzjoni tad-drittijiet tal-midja f'dan ir-rekord (sakemm mhux speċifikat mod ieħor)
- http://creativecommons.org/licenses/by-nc-sa/4.0/
Drittijiet
- policy:public
Sors
- Kybernetika | 2017 Volume:53 | Number:6
Identifikatur
- https://cdk.lib.cas.cz/client/handle/uuid:154e1669-f5c9-430b-959d-8504214b90ad
- uuid:154e1669-f5c9-430b-959d-8504214b90ad
- doi:10.14736/kyb-2017-6-1026
- uuid:154e1669-f5c9-430b-959d-8504214b90ad
Format
- bez média
- svazek
Lingwa
- eng
- eng
Pajjiż fornitur
- Czech Republic
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