| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0377917 |
| utime |
20240103201011.2 |
| mtime |
20120815235959.9 |
| WOS |
000307520000020 |
| title
(primary) (eng) |
Risk Measures via Heavy Tails |
| specification |
| page_count |
5 s. |
| media_type |
C |
|
| serial |
| ARLID |
cav_un_epca*0377684 |
| ISBN |
978-80-225-3426-0 |
| title
|
Quantitative Methods in Economics (Multiple Criteria Decision Making XVI) |
| page_num |
115-119 |
| publisher |
| place |
Bratislava |
| name |
Vydavatelstvo EKONÓM |
| year |
2012 |
|
| editor |
|
|
| keyword |
Static stochastic optimization problems |
| keyword |
linear and nonlinear dependence |
| keyword |
thin and heavz tails |
| author
(primary) |
| ARLID |
cav_un_auth*0101122 |
| name1 |
Kaňková |
| name2 |
Vlasta |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GAP402/10/0956 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0263482 |
|
| project |
| project_id |
GAP402/11/0150 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0273629 |
|
| project |
| project_id |
GAP402/10/1610 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0263483 |
|
| abstract
(eng) |
Economic and financial activities are often influenced simultaneously by a decision parameter and a randon factor. Since mostly it is necessary to determine the decision parameter without knowledge of a random element realization, deterministic optimization problems depending on a probability measure correspond often to such situations. In aplications very often the problem has to be solved on the data basis. Great effort has been paid to investigate properties of these (empirical) estimates; mostly under assumptions of ``thin" tails and a linear dependence on the probability measure. The aim of the contribution is to focus on the cases when these assumptions are not fulfilled. This happens usually in economic and financial applications. |
| action |
| ARLID |
cav_un_auth*0281871 |
| name |
Quantitative Methods in Economics (Multiple Criteria Decision Making XVI) |
| place |
Bratislava |
| dates |
30.05.2012-01.06.2012 |
| country |
SK |
|
| reportyear |
2013 |
| RIV |
BB |
| num_of_auth |
1 |
| presentation_type |
PR |
| mrcbC55 |
UTIA-B AH |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0209939 |
| arlyear |
2012 |
| mrcbU34 |
000307520000020 WOS |
| mrcbU63 |
cav_un_epca*0377684 Quantitative Methods in Economics (Multiple Criteria Decision Making XVI) 978-80-225-3426-0 115 119 Quantitative Methods in Economics (Multiple Criteria Decision Making XVI) Bratislava Vydavatelstvo EKONÓM 2012 |
| mrcbU67 |
Reiff Marian 340 |
|