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

DOI10.14736/KYB-2017-6-1026MaRDI QIDQ4637446zbMATH OpenOpenAlexFDO

Authors Vlasta Kaňková

Publication date 18 April 2018

Published in Kybernetika (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10338.dmlcz/147083

zbMATH Keywords

\(\mathcal{L}_1\) normbankdebtorempirical estimateserror approximationfinancial applicationsinstallmentsLipschitz propertyloanmortgageprobability constraintsscenariostabilitystochastic dominancestochastic programming problemsWasserstein metric

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cited in

(5)

• Empirical estimates in stochastic optimization via distribution tails
• Consistency issues for numerical methods for variance control, with applications to optimization in finance
• Evaluations of risk measures for different probability measures
• Stochastic optimization methods in finance and energy. New financial products and energy market strategies. Selected papers based on the presentations at the spring school of stochastic programming, Bergamo, Italy, April 10--20, 2007, and the 11th international symposium on stochastic programming (SPXI), Vienna, Austria, August 27--31, 2007
• Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance

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