About: Empirical Estimates in Economic and Financial Optimization Problems

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Many applications from economic and nancial practice lead to optimization problems depending on a probability measure. A complete knowledge of the underlying measure is a necessary assumption to determine an exact optimal solution and an exact optimal value. Since this condition is not usually fullled, the solution is often determined using empirical data. Estimates of the optimal value and the optimal solution sets can be obtained by this approach only. Many eorts has been paid to the investigation of the above mentioned estimates. Especially the consistency and the convergence rate have been investigated. However, it was mostly done for classical problems and underlying distributions with thin tails. The aim of this paper is to analyze these estimates from the point of the distribution tails. To this end, first, we recall some known results. We recall stability results based on the Wasserstein metric corresponding to L1 norm and employ them to the case of heavy tails. Many applications from economic and nancial practice lead to optimization problems depending on a probability measure. A complete knowledge of the underlying measure is a necessary assumption to determine an exact optimal solution and an exact optimal value. Since this condition is not usually fullled, the solution is often determined using empirical data. Estimates of the optimal value and the optimal solution sets can be obtained by this approach only. Many eorts has been paid to the investigation of the above mentioned estimates. Especially the consistency and the convergence rate have been investigated. However, it was mostly done for classical problems and underlying distributions with thin tails. The aim of this paper is to analyze these estimates from the point of the distribution tails. To this end, first, we recall some known results. We recall stability results based on the Wasserstein metric corresponding to L1 norm and employ them to the case of heavy tails. (en)
Title	Empirical Estimates in Economic and Financial Optimization Problems Empirical Estimates in Economic and Financial Optimization Problems (en)
skos:prefLabel	Empirical Estimates in Economic and Financial Optimization Problems Empirical Estimates in Economic and Financial Optimization Problems (en)
skos:notation	RIV/67985556:_____/12:00376758!RIV13-AV0-67985556
http://linked.open...avai/riv/aktivita	P Z
http://linked.open...avai/riv/aktivity	P(GAP402/10/0956), P(GAP402/10/1610), P(GAP402/11/0150), Z(AV0Z10750506)
http://linked.open...iv/cisloPeriodika	29
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Kaňková, Vlasta Houda, Michal
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	134221
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/12:00376758
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	stochastic programming; empirical estimates; moment generating functions; stability; Wasserstein metric; L1-norm; Lipschitz property; consistence; convergence rate; normal distribution; Pareto distribution; Weibull distribution; distribution tails; simulation (en)
http://linked.open.../riv/klicoveSlovo	Weibull distribution normal distribution simulation stability Wasserstein metric L1-norm Lipschitz property consistence convergence rate distribution tails empirical estimates moment generating functions Pareto distribution stochastic programming
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[91CEFAF3EF94]
http://linked.open...i/riv/nazevZdroje	Bulletin of the Czech Econometric Society
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Rational Decision Making at Markets with Asynchronous Trading: Theory and Emprical Evidence The Interplay of Theory and Applications in Stochastic Decision Problems Stochastic Economic Models under Uncertainty: Development over Time and Optimization
http://linked.open...UplatneniVysledku	2012
http://linked.open...v/svazekPeriodika	19
http://linked.open...iv/tvurceVysledku	Kaňková, Vlasta Houda, Michal
http://linked.open...n/vavai/riv/zamer	Pokročilé matematické metody získávání, zpracování a využití informací a znalostí ve složitých a nedeterministických systémech
issn	1212-074X
number of pages	20 (xsd:int)

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