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Agent-based modeling for decision making in economics under uncertainty
Vermeulen, Ben; Pyka, Andreas - 2015
Ever since the emergence of economics as a distinct scientific discipline, policy makers have turned to economic models to guide policy interventions. If policy makers seek to enhance growth of an open capitalist economy, they have to take into account, firstly, the uncertainties,...
Persistent link: https://www.econbiz.de/10011281255
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Two-Stage Portfolio Optimization with Higher-Order Conditional Measures of Risk
Gulten, Sitki - 2013
investment periods is the conditional risk mapping approach. The idea is to develop a model in which information from the … optimization problem with rebalancing in a more time-efficient way when coherent risk measures are used. Artzner et al. (1999 …) outlined a set of mathematical properties for a risk measure that reflect the interests of risk-averse investors. Furthermore …
Persistent link: https://www.econbiz.de/10013091376
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The Impact of Uncertainty on the European Energy Market : A Scenario Aggregation Approach
Brekke, Kjell Arne - 2013
We present a simple approach to transform a deterministic numerical model, where several agents simultaneously make decisions, into a stochastic model. This approach, which builds on scenario aggregation, a numerical method developed to solve decision problems under uncertainty, is used to build...
Persistent link: https://www.econbiz.de/10013072087
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Teasing Out Tail Risk or, Quantum Mechanics to the Rescue : A Practical Method for Characterizing Downside Risk in Non-Gaussian Return Distributions
Stock, Robert D. - 2020
single intuitive number, defined here as the “crash volatility”, to characterize the true left-tail risk as an alternative to … optimizer to finally “see” the risk effect of the non-Gaussian distribution. An example using Amaranth's returns before it lost … -71% in September, 2006 illustrates how these new techniques caught a much higher level of risk lurking in the data …
Persistent link: https://www.econbiz.de/10012844430
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Public Debt Sustainability Under Uncertainty : An Invariant Set Approach
Rozenov, Rossen - 2017
The paper offers an approach to assessing the sustainability of public debt taking into account the effect of fiscal policy on output, as well as uncertainty in the model parameters and system dynamics. Uncertainty is specified in general terms, and the analysis is based on the notion of...
Persistent link: https://www.econbiz.de/10012956494
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Option-Based Pricing of Wrong Way Risk for CVA
Kenyon, Chris - 2016
The two main issues for managing wrong way risk (WWR) for the credit valuation adjustment (CVA, i.e. WW-CVA) are …
Persistent link: https://www.econbiz.de/10012986205
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Efficient Portfolios and Extreme Risks : An Extended Dirichlet Approach
Le Courtois, Olivier - 2020
This paper solves the mean-variance-skewness-kurtosis (MVSK) portfolio optimizationproblem using a new approach based on the Dirichlet distribution. To obtain efficient portfolios,we generalize the Dirichlet distribution using the student copula to produce an increasedproportion of portfolios...
Persistent link: https://www.econbiz.de/10012849455
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The impact of uncertainty on the European energy market : a scenario aggregation approach
Brekke, Kjell Arne; Golombek, Rolf; Kaut, Michal; … - 2013
We present a simple approach to transform a deterministic numerical model, where several agents simultaneously make decisions, into a stochastic model. This approach, which builds on scenario aggregation, a numerical method developed to solve decision problems under uncertainty, is used to build...
Persistent link: https://www.econbiz.de/10010212655
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Geoengineering and abatement : a "flat" relationship under uncertainty
Emmerling, Johannes; Tavoni, Massimo - 2013
The potential of geoengineering as an alternative or complementary option to mitigation and adaptation has received increased interest in recent years. The scientific assessment of geoengineering is driven to a large extent by assumptions about its effectiveness, costs, and impacts, all of which...
Persistent link: https://www.econbiz.de/10009737193
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Ambiguity and the historical equity premium
Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017
dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …
Persistent link: https://www.econbiz.de/10011756113