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  • Search: subject:"Crash-scenario"
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Subject
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Ambiguity aversion 2 Crash-scenario 2 Diffusion processes 2 Dynkin games 2 Optimal stopping 2 Crash scenario 1 Decision under uncertainty 1 Efficiency 1 Entscheidung unter Unsicherheit 1 Knightian uncertainty 1 Mathematical programming 1 Mathematische Optimierung 1 Min-max approach 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risk 1 Robust optimization 1 Robust statistics 1 Robustes Verfahren 1 Theorie 1 Theory 1 Worst case 1
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Article 3
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Article in journal 1 Aufsatz in Zeitschrift 1
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Undetermined 2 English 1
Author
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Christensen, Sören 2 Desmettre, Sascha 1 Korn, Ralf 1 Ruckdeschel, Peter 1 Seifried, Frank Thomas 1
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Computational Statistics 1 Mathematical Methods of Operations Research 1 OR spectrum : quantitative approaches in management 1
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RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
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Optimal decision under ambiguity for diffusion processes
Christensen, Sören - In: Mathematical Methods of Operations Research 77 (2013) 2, pp. 207-226
In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift ambiguity for one-dimensional diffusion processes. Analogously...
Persistent link: https://www.econbiz.de/10010999615
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Optimal decision under ambiguity for diffusion processes
Christensen, Sören - In: Computational Statistics 77 (2013) 2, pp. 207-226
In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift ambiguity for one-dimensional diffusion processes. Analogously...
Persistent link: https://www.econbiz.de/10010759211
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Robust worst-case optimal investment
Desmettre, Sascha; Korn, Ralf; Ruckdeschel, Peter; … - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 677-701
Persistent link: https://www.econbiz.de/10011296715
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