Search Results - subject:"Random set"

Testing revealed preference models with unobserved randomness : a column generation approach

Demuynck, Thomas; Potoms, Tom - 2022

Persistent link: https://www.econbiz.de/10013473230

Multivariate risk measures in the non-convex setting

Haier, Andreas; Molčanov, Il'ja S. - In: Statistics & Risk Modeling 36 (2019) 1-4, pp. 25-35

Abstract The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g., in case of fixed transaction costs or when only a finite number of transfers are possible. The paper...

Persistent link: https://www.econbiz.de/10014621275

In search of a primary source: remaking the paper (1975) where at the first time a definition of lattice (Vorob’ev) expectation of a random set was given

Vorobyev, Oleg Yu. - Volkswirtschaftliche Fakultät, … - 2013

Remaking the primary source of an old good idea of the “lattice expectation”, published by me in 1975 at the first time and subsequently, especially in the western literature on stochastic geometry and the theory of random sets, named from a light hand of Dietrich Stoyan [1994] “Vorob’ev...

Persistent link: https://www.econbiz.de/10011259913

Inference and decision for set identified parameters using posterior lower and upper probabilities

Kitagawa, Toru - 2011

This paper develops inference and statistical decision for set-identified parameters from the robust Bayes perspective. When a model is set-identified, prior knowledge for model parameters is decomposed into two parts: the one that can be updated by data (revisable prior knowledge) and the one...

Persistent link: https://www.econbiz.de/10010288337

On the New Notion of the Set-Expectation for a Random Set of Events

Vorobyev, Oleg Yu.; Vorobyev, Alexey O. - Volkswirtschaftliche Fakultät, … - 2003

The paper introduces new notion for the set-valued mean set of a random set. The means are defined as families of sets … that minimize mean distances to the random set. The distances are determined by metrics in spaces of sets or by suitable …

Persistent link: https://www.econbiz.de/10008518092

On a games theory of random coalitions and on a coalition imputation

Oleg, Vorobyev; Ellen, Goldenok; Helena, Tyaglova - Volkswirtschaftliche Fakultät, … - 2002

The main theorem of the games theory of random coalitions is reformulated in the random set language which generalizes … coalitions has been introduced as a random set form of classical maximin theorem. This interpretation of the maximin theorem …

Persistent link: https://www.econbiz.de/10005105920

Portfolio Analysis of Financial Market Risks by Random Set Tools

Vorobyev, Oleg Yu.; Novosyolov, Arcady A.; Simonov, … - Volkswirtschaftliche Fakultät, … - 2001

A new approach to portfolio analysis of financial market risks by random set tools is considered. Despite many attempts … fundamental properties that a market model should possess. The paper suggests a random set approach as a probabilistic base of … random set approach allows to derive the so called transition set-matrices, random set invariants of capital redistribution …

Persistent link: https://www.econbiz.de/10005037758