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Original title:
Mean-Risk Optimization Problem via Scalarization, Stochastic Dominance, Empirical Estimates
Authors: Kaňková, Vlasta
Document type: Papers
Conference/Event: MME 2019: International Conference on Mathematical Methods in Economics /37./, České Budějovice (CZ), 20190911
Year: 2019
Language: eng
Abstract: Many economic and financial situations depend simultaneously on a random element and on a decision parameter. Mostly it is possible to influence the above mentioned situation by an optimization model depending on a probability measure. We focus on a special case of one-stage two objective stochastic “Mean-Risk problem”. Of course to determine optimal solution simultaneously with respect to the both criteria is mostly impossible. Consequently, it is necessary to employ some approaches. A few of them are known (from the literature), however two of them are very important: first of them is based on a scalarizing technique and the second one is based on the stochastic dominance. First approach has been suggested (in special case) by Markowitz, the second approach is based on the second order stochastic dominance. The last approach corresponds (under some assumptions) to partial order in the set of the utility functions.\nThe aim of the contribution is to deal with the both main above mentioned approaches. First, we repeat their properties and further we try to suggest possibility to improve the both values simultaneously with respect to the both criteria. However, we focus mainly on the case when probability characteristics has to be estimated on the data base.
Keywords: empirical estimates; scalarization; stochastic dominance; Two-objective stochastic optimization problems
Project no.: GA18-02739S (CEP)
Funding provider: GA ČR
Host item entry: Conference Proceedings. 37th International Conference on Mathematical Methods in Economics 2019, ISBN 978-80-7394-760-6
Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2019/E/kankova-0518579.pdf
Original record: http://hdl.handle.net/11104/0303981
Permalink: http://www.nusl.cz/ntk/nusl-409038
The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers
Authors: Kaňková, Vlasta
Document type: Papers
Conference/Event: MME 2019: International Conference on Mathematical Methods in Economics /37./, České Budějovice (CZ), 20190911
Year: 2019
Language: eng
Abstract: Many economic and financial situations depend simultaneously on a random element and on a decision parameter. Mostly it is possible to influence the above mentioned situation by an optimization model depending on a probability measure. We focus on a special case of one-stage two objective stochastic “Mean-Risk problem”. Of course to determine optimal solution simultaneously with respect to the both criteria is mostly impossible. Consequently, it is necessary to employ some approaches. A few of them are known (from the literature), however two of them are very important: first of them is based on a scalarizing technique and the second one is based on the stochastic dominance. First approach has been suggested (in special case) by Markowitz, the second approach is based on the second order stochastic dominance. The last approach corresponds (under some assumptions) to partial order in the set of the utility functions.\nThe aim of the contribution is to deal with the both main above mentioned approaches. First, we repeat their properties and further we try to suggest possibility to improve the both values simultaneously with respect to the both criteria. However, we focus mainly on the case when probability characteristics has to be estimated on the data base.
Keywords: empirical estimates; scalarization; stochastic dominance; Two-objective stochastic optimization problems
Project no.: GA18-02739S (CEP)
Funding provider: GA ČR
Host item entry: Conference Proceedings. 37th International Conference on Mathematical Methods in Economics 2019, ISBN 978-80-7394-760-6
Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2019/E/kankova-0518579.pdf
Original record: http://hdl.handle.net/11104/0303981
Permalink: http://www.nusl.cz/ntk/nusl-409038
The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers
Record created 2020-01-13, last modified 2021-11-24