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…
Makers
- Kaňková, Vlasta
Onderwerp
- stochastic programming problems
- probability constraints
- stochastic dominance
- stability
- Wasserstein metric
- L1 norm
- Lipschitz property
- empirical estimates
- scenario
- error approximation
- …
Type object
- model:article
Makers
- Kaňková, Vlasta
Onderwerp
- stochastic programming problems
- probability constraints
- stochastic dominance
- stability
- Wasserstein metric
- L1 norm
- Lipschitz property
- empirical estimates
- scenario
- error approximation
- …
Type object
- model:article
Deelnemende erfgoedorganisatie
Informatienetwerk
Rechtenstatus van de media in dit record (tenzij anders vermeld)
- http://creativecommons.org/licenses/by-nc-sa/4.0/
Rechten
- policy:public
Bron
- Kybernetika | 2017 Volume:53 | Number:6
Identificatie
- 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
Vorm
- bez média
- svazek
Taal
- eng
- eng
Land
- Czech Republic
Naam van de collectie
Voor het eerst gepubliceerd op Europeana
- 2021-12-25T05:07:51.358Z
Laatste keer bijgewerkt door deelnemende erfgoedorganisatie
- 2022-05-11T20:53:07.522Z