| bibtype |
J -
Journal Article
|
| ARLID |
0423826 |
| utime |
20240103203743.0 |
| mtime |
20140117235959.9 |
| title
(primary) (eng) |
Risk Measures in Optimization Problems via Empirical Estimates |
| specification |
| page_count |
16 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0297184 |
| ISSN |
0323-066X |
| title
|
Acta Universitatis Carolinae. Oeconomica |
| volume_id |
7 |
| volume |
3 (2013) |
| page_num |
162-177 |
|
| keyword |
static stochastic optimization problems |
| keyword |
risk measures |
| keyword |
empirical distribution function |
| 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 random factor. Since mostly it is necessary to determine the decision parameter without knowledge of the realization of the random element, deterministic optimization problems depending on a probability measure often correspond to such situations. In applications the problem has to be very often solved on the data basis. It means that usually the “underlying” probability measure is replaced by empirical one. Great effort has been made to investigate properties of the corresponding (empirical) estimates; mostly under assumptions of “thin” tails and a linear dependence on the probability measure. The aim of this paper is to focus on the cases when these assumptions are not fulfilled. This happens usually just in economic and financial applications (see, e.g., Mandelbort 2003; Pflug and Römisch 2007; Rachev and Römisch 2002; Shiryaev 1999). |
| reportyear |
2014 |
| RIV |
AH |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0229886 |
| arlyear |
2013 |
| mrcbU63 |
cav_un_epca*0297184 Acta Universitatis Carolinae. Oeconomica 0323-066X Roč. 7 č. 3 2013 162 177 |
|