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Original title:
Empirical Estimates in Economic and Financial Problems via Heavy Tails
Authors: Kaňková, Vlasta
Document type: Papers
Conference/Event: 30th International Conference Mathematical Methods in Economics 2012, Karviná (CZ), 2012-09-11 / 2012-09-13
Year: 2012
Language: eng
Abstract: Optimization problems depending on a probability measure correspond to many economic and financial applications. Complete knowledge of this measure is necessary to solve exactly these problems. Since this condition is fulfilled only seldom, the problem has to be usually solved on the data basis to obtain satistical estimates of an optimal value and optimal solutions. Great effort has been paid to investigate properties of these estimates; first under assumptions of disribution with thin tails and linear dependence on the probability measure. Recently, it has appeared an investigation in the case of nonlinear dependence on the probability measure and heavy tailed distributions with shape parameter greater two. We focus on the case of the stable and Pareto distributions with a shape parameter in the inteval (1, 2).
Keywords: empirical estimates; Lipschitz property; Pareto distribution; stable distribution; stochastic optimization problems; thin and heavy tailed distributions
Project no.: GAP402/10/0956 (CEP), GAP402/11/0150 (CEP), GAP402/10/1610 (CEP)
Funding provider: GA ČR, GA ČR, GA ČR
Host item entry: Proceedings of 30th International Conference Mathematical Methods in Economics 2012, ISBN 978-80-7248-779-0
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/2012/E/Kankova-empirical estimates in economic and financial problems via heavy tails.pdf
Original record: http://hdl.handle.net/11104/0211398
Permalink: http://www.nusl.cz/ntk/nusl-124498
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: 30th International Conference Mathematical Methods in Economics 2012, Karviná (CZ), 2012-09-11 / 2012-09-13
Year: 2012
Language: eng
Abstract: Optimization problems depending on a probability measure correspond to many economic and financial applications. Complete knowledge of this measure is necessary to solve exactly these problems. Since this condition is fulfilled only seldom, the problem has to be usually solved on the data basis to obtain satistical estimates of an optimal value and optimal solutions. Great effort has been paid to investigate properties of these estimates; first under assumptions of disribution with thin tails and linear dependence on the probability measure. Recently, it has appeared an investigation in the case of nonlinear dependence on the probability measure and heavy tailed distributions with shape parameter greater two. We focus on the case of the stable and Pareto distributions with a shape parameter in the inteval (1, 2).
Keywords: empirical estimates; Lipschitz property; Pareto distribution; stable distribution; stochastic optimization problems; thin and heavy tailed distributions
Project no.: GAP402/10/0956 (CEP), GAP402/11/0150 (CEP), GAP402/10/1610 (CEP)
Funding provider: GA ČR, GA ČR, GA ČR
Host item entry: Proceedings of 30th International Conference Mathematical Methods in Economics 2012, ISBN 978-80-7248-779-0
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/2012/E/Kankova-empirical estimates in economic and financial problems via heavy tails.pdf
Original record: http://hdl.handle.net/11104/0211398
Permalink: http://www.nusl.cz/ntk/nusl-124498
The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers
Record created 2012-10-03, last modified 2021-11-24