0485151 20240903170638.920180119235959.9 85040725398 000424732300005 10.14736/kyb-2017-6-1026 Stability, Empirical Estimates and Scenario Generation in Stochastic Optimization - Applications in Finance 21 s. P cav_un_epca*02971630023-5954Kybernetika536 (2017)1026-1046Ústav teorie informace a automatizace AV ČR, v. v. i. stochastic programming stochastic dominance empirical estimates financial applications cav_un_auth*0101122 Ekonometrie Department of Econometrics E E Department of Econometrics 100 Kaňková Vlasta UTIA-B K Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2017/E/kankova-0485151.pdf cav_un_auth*0321097 GA15-10331S GA ČR Economic and financial processes are mostly simultaneously influuenced 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, replaced by empirical one determined on the base of data or even (for numerical reason) replaced by simpler (mostly discrete) one. Consequently, real one and approximate one correspond to applications. In the paper we try to investigate their relationship. To this end we employ the results on stability based on the Wasserstein metric and L1 norm, their applications to empirical estimates and scenario generation. Moreover, we apply the achieved new results to simple financial applications. The corresponding model will a problem of stochastic programming. BB 10000 10100 10103 2018 1 RVO:67985556 http://hdl.handle.net/11104/0280355 S 3+4 Article|Proceedings Paper Computer Science Cybernetics 3+4 Article|Proceedings Paper Computer Science Cybernetics 3+4 Article|Proceedings Paper Computer Science Cybernetics COMPUTERSCIENCE.CYBERNETICS 0.596 0.048 12.4 0.00096 0.224 808 0.321 0.513 63 Q4 18.907 11.4 Q4 Q3 0.2 Q4 11.364 2017 85040725398 SCOPUS PUBMED 000424732300005 WOS cav_un_epca*0297163 Kybernetika 0023-5954 Roč. 53 č. 6 2017 1026 1046 Ústav teorie informace a automatizace AV ČR, v. v. i.