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Measuring consistency and inconsistency of pair comparison systems

Jaroslav Ramík, Milan Vlach (2013)

Kybernetika

In this paper we deal with mathematical modeling of real processes that are based on preference relations in the sense that, for every pair of distinct alternatives, the processes are linked to a value of preference degree of one alternative over the other one. The use of preference relations is usual in decision making, psychology, economics, knowledge acquisition techniques for knowledge-based systems, social choice and many other social sciences. For designing useful mathematical models of such...

Measuring criteria weights by means of Dimension Theory.

Daniel Gómez, Javier Montero de Juan, Javier Yáñez Gestoso (2006)

Mathware and Soft Computing

Measuring criteria weights in multicriteria decision making is a key issue in order to amalgamate information when reality is being described from several different points of view. In this paper we propose a method for evaluating those weights taking advantage of Dimension Theory, which allows the representation of the set of alternatives within a real space, provided that decision maker preferences satisfy certain consistency conditions. Such a representation allows a first information about possible...

Measuring of second–order stochastic dominance portfolio efficiency

Miloš Kopa (2010)

Kybernetika

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 propose new...

Méthode d'aide à la décision sur des évaluations multicritères par plusieurs juges

C. Vidal, A. Yehia Alcoutlabi (1990)

Mathématiques et Sciences Humaines

L'évaluation multicritère est un problème bien connu souvent traité par des méthodes de surclassement. Nous avons ici envisagé le cas général de plusieurs juges et agrégé les différentes évaluations pour construire une matrice de préférences, ramenant ainsi le problème à un problème de comparaisons par paires. Nous avons cherché des solutions optimales de classement en appliquant un algorithme d'affectation quadratique particulier.

Modelling financial time series using reflections of copulas

Jozef Komorník, Magda Komorníková (2013)

Kybernetika

We have intensified studies of reflections of copulas (that we introduced recently in [6]) and found that their convex combinations exhibit potentially useful fitting properties for original copulas of the Normal, Frank, Clayton and Gumbel types. We show that these properties enable us to construct interesting models for the relations between investment in stocks and gold.

Modelling stock returns with AR-GARCH processes.

Elzbieta Ferenstein, Miroslaw Gasowski (2004)

SORT

Financial returns are often modelled as autoregressive time series with random disturbances having conditional heteroscedastic variances, especially with GARCH type processes. GARCH processes have been intensely studied in financial and econometric literature as risk models of many financial time series. Analyzing two data sets of stock prices we try to fit AR(1) processes with GARCH or EGARCH errors to the log returns. Moreover, hyperbolic or generalized error distributions occur to be good models...

Models for option pricing based on empirical characteristic function of returns

Karol Binkowski, Andrzej Kozek (2010)

Banach Center Publications

The standard Merton-Black-Scholes formula for European Option pricing serves only as approximation to real values of options. More advanced extensions include applications of Lévy processes and are based on characteristic functions, which are more convenient to use than the corresponding probability distributions. We found one of the Lewis (2001) general theoretical formulae for option pricing based on characteristic functions particularly suitable for a statistical approach to option pricing. By...

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