Displaying similar documents to “Thin and heavy tails in stochastic programming”

Stability, empirical estimates and scenario generation in stochastic optimization - applications in finance

Vlasta Kaňková (2017)

Kybernetika

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Economic and financial processes are mostly simultaneously influenced 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...

Empirical estimates in stochastic optimization via distribution tails

Vlasta Kaňková (2010)

Kybernetika

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“Classical” optimization problems depending on a probability measure belong mostly to nonlinear deterministic optimization problems that are, from the numerical point of view, relatively complicated. On the other hand, these problems fulfil very often assumptions giving a possibility to replace the “underlying” probability measure by an empirical one to obtain “good” empirical estimates of the optimal value and the optimal solution. Convergence rate of these estimates have been studied...

Multistage stochastic programs via autoregressive sequences and individual probability constraints

Vlasta Kaňková (2008)

Kybernetika

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The paper deals with a special case of multistage stochastic programming problems. In particular, the paper deals with multistage stochastic programs in which a random element follows an autoregressive sequence and constraint sets correspond to the individual probability constraints. The aim is to investigate a stability (considered with respect to a probability measures space) and empirical estimates. To achieve new results the Wasserstein metric determined by ℒ 1 norm and results of...

Measuring of second–order stochastic dominance portfolio efficiency

Miloš Kopa (2010)

Kybernetika

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In this paper, we deal with second-order stochastic dominance (SSD) portfolio efficiency with respect to all portfolios that can be created from a considered set of assets. Assuming scenario approach for distribution of returns several SSD portfolio efficiency tests were proposed. We introduce a δ -SSD portfolio efficiency approach and we analyze the stability of SSD portfolio efficiency and δ -SSD portfolio efficiency classification with respect to changes in scenarios of returns. We...