0380774 20240111140819.920120927235959.9 000316715900068 6 s. C cav_un_epca*0380742978-80-7248-779-0396-401KarvináSilesian University in Opava, School of Busines Administration in Karviná2012RamíkJaroslavStavárekDaniel stochastic optimization problems empirical estimates thin and heavy tailed distributions stable distribution Pareto distribution Lipschitz property cav_un_auth*0101122 Kaňková Vlasta Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2012/E/Kankova-empirical estimates in economic and financial problems via heavy tails.pdf 90 kByte GAP402/10/0956 GA ČR cav_un_auth*0263482 GAP402/11/0150 GA ČR cav_un_auth*0273629 GAP402/10/1610 GA ČR cav_un_auth*0263483 Optimization problems depending on a probability measure correspond to many economic and financial applications. Complete knowledge of this measure is necessary to solve exactly these problems. Since this condition is fulfilled only seldom, the problem has to be usually solved on the data basis to obtain satistical estimates of an optimal value and optimal solutions. Great effort has been paid to investigate properties of these estimates; first under assumptions of disribution with thin tails and linear dependence on the probability measure. Recently, it has appeared an investigation in the case of nonlinear dependence on the probability measure and heavy tailed distributions with shape parameter greater two. We focus on the case of the stable and Pareto distributions with a shape parameter in the inteval (1, 2). cav_un_auth*0283511 30th International Conference Mathematical Methods in Economics 2012 Karviná 11.09.2012-13.09.2012 CZ 2013 BB 1 PR RVO:67985556 http://hdl.handle.net/11104/0211398 2012 000316715900068 WOS 90 kByte cav_un_epca*0380742 Proceedings of 30th International Conference Mathematical Methods in Economics 2012 978-80-7248-779-0 396 401 Proceedings of 30th International Conference Mathematical Methods in Economics 2012 Karviná Silesian University in Opava, School of Busines Administration in Karviná 2012 Ramík Jaroslav 340 Stavárek Daniel 340