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We can overcome uncertainty with uncertainty. Using randomness in our choices and in what we control, and hence in the decision making process, could potentially offset the uncertainty inherent in the environment and yield better outcomes. The example we develop in greater detail is the...
Persistent link: https://www.econbiz.de/10012970297
This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial...
Persistent link: https://www.econbiz.de/10013024274
We can overcome uncertainty with uncertainty. Using randomness in our choices and in what we control and hence in the decision making process, could potentially offset the uncertainty inherent in the environment and yield better outcomes. This methodology is suitable for the social sciences...
Persistent link: https://www.econbiz.de/10012915507
Portfolio optimization has been a central problem in finance, often approached with two steps: calibrating the parameters and then solving an optimization problem. Yet, the two-step procedure sometimes encounter the ``error maximization'' problem where inaccuracy in parameter estimation...
Persistent link: https://www.econbiz.de/10013219787
The risk parity optimization problem produces portfolios where each asset contributes an equal amount to the overall portfolio risk. While most work has investigated the problem using all assets, minimal work has investigated the cardinality constrained variant, which reduces the associated...
Persistent link: https://www.econbiz.de/10014031190
This paper studies the implications for reserve lifetime and related quantities in a continuous time model of resource extraction under uncertainty. Both the resource price and the extracted amount are assumed to follow stochastic processes. Reserve lifetime is determined by the...
Persistent link: https://www.econbiz.de/10013061983
We propose a new model formulation for a three-echelon supply network design problem incorporating the concept of relocatable modular capacities. A robust supply network configuration must be determined based on uncertain demand. Furthermore, by incorporating the conditional value at risk...
Persistent link: https://www.econbiz.de/10014237572
Uncertain future development presents a significant challenge during the distribution strategy planning process. Traditional planning approaches, reliant on creating potential scenarios and assigning probabilities, often struggle due to future developments' inherent unpredictability, which can...
Persistent link: https://www.econbiz.de/10014531996