Statistical decision problems. Selected concepts and portfolio safeguard case studies

DOI10.1007/978-1-4614-8471-4MaRDI QIDQ2393404zbMATH OpenOpenAlexFDO

Authors Michael Zabarankin, Stan Uryasev

Publication date 7 August 2013

Published in Springer Optimization and Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4614-8471-4

zbMATH Keywords

classificationportfolio choicePortfolio Safeguardstatistical decisions

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to statistics (62-02) General considerations in statistical decision theory (62C05) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02) Management decision making, including multiple objectives (90B50) Multi-objective and goal programming (90C29) Decision theory (91B06) Portfolio theory (91G10)

Review text

The book offers a chapter-length primer on probability and statistical risk (section I), followed by a review of standard problems and procedures, all from a statistical decision theory viewpoint (section II). The heart of the book is section III, which shows in detail how to handle many such problems using the Portfolio Safeguard software package. Examples include optimal hedging, portfolio optimization, cash flow matching, and classification using Support Vector Machines. The book will mostly benefit readers who use or consider using Portfolio Safeguard and are looking for a complementary, textbook-style treatment.

Recommendations

• Problems in portfolio theory and the fundamentals of financial decision making
• Risk and portfolio analysis. Principles and methods.
• Introduction to Modern Portfolio optimization with NUOPT and S-PLUS
• Lectures on Stochastic Programming
• Risk and asset allocation.

Cited in

(12)

• Drawdown: from practice to theory and back again
• Regression analysis: likelihood, error and entropy
• Direct data-based decision making under uncertainty
• Financial modeling with Crystal Ball and Excel
• CVaR (superquantile) norm: stochastic case
• Inverse portfolio problem with coherent risk measures
• Value-at-risk support vector machine: stability to outliers
• Sensitivity analysis in applications with deviation, risk, regret, and error measures
• Buffered Probability of Exceedance: Mathematical Properties and Optimization
• A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs
• Buffered and reduced multidimensional distribution functions and their application in optimization
• Risk-adaptive approaches to stochastic optimization: a survey

Describes a project that uses

Uses Software

• Portfolio Safeguard

This page was built for publication: Statistical decision problems. Selected concepts and portfolio safeguard case studies

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2393404)