Search Results - subject:"Scenario aggregation"

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Model uncertainty and scenario aggregation

Cambou, Mathieu; Filipović, Damir - In: Mathematical finance : an international journal of … 27 (2017) 2, pp. 534-567

Persistent link: https://www.econbiz.de/10011752528

Scenario aggregation method for portfolio expectile optimization

Jakobsons, Edgars - In: Statistics & Risk Modeling 33 (2016) 1-2, pp. 51-65

the formulation that is based on a scenario aggregation approach is considerably faster than the two alternatives. …

Persistent link: https://www.econbiz.de/10014621253

Model uncertainty and scenario aggregation

Cambou, Mathieu; Filipović, Damir - 2014

This paper provides a coherent method for scenario aggregation addressing model uncertainty. It is based on divergence …-at-risk and expected shortfall, are shown to be robust with respect to minimum divergence scenario aggregation. Various examples …

Persistent link: https://www.econbiz.de/10010412678

A scenario aggregation based approach for determining a robust airline fleet composition

Listes, O.L.; Dekker, R. - Erasmus University Rotterdam, Econometric Institute - 2002

a scenario aggregation based approach and present results on representative case studies based on realistic data. Our …

Persistent link: https://www.econbiz.de/10004972245

A scenario aggregation based approach for determining a robust airline fleet composition

Dekker, Rommert; Listes, Listes, O.L. - Faculteit der Economische Wetenschappen, Erasmus … - 2002

a scenario aggregation based approach and present results on representative case studies based on realistic data. Our …

Persistent link: https://www.econbiz.de/10010731758