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Selection procedure of the approximation methods for deriving priorities : a case of inconsistent pairwise comparisons

Čančer, Vesna - In: Business systems research : a system view accross … 15 (2024) 2, pp. 21-30

Background When pairwise comparisons are used to express preferences for alternatives or judgments on criteria's importance, several methods can be used to derive priorities in multi-criteria decision-making. In the case of inconsistency, different methods give different results. Objectives The...

Persistent link: https://www.econbiz.de/10015108402

Agent-based simulation as an implementation of methodological individualism

Di Iorio, Francesco; Chen, Shu-Heng - 2017

This paper investigates the relationship between methodological individualism (MI) and Agent-Based Simulation (ABS). We …

Persistent link: https://www.econbiz.de/10011760027

Distributional and welfare effects of replacing monetary benefits with iniversal basic income in Spain

Badenes Plá, Nuria; Gambau-Suelves, Borja; Navas … - 2019

This papers quantifies the redistributive effects on progressivity, poverty and welfare, that would occur if the monetary benefits currently in place in the Spanish system were to be replaced by a neutral alternative in terms of spending, granting a universal basic income (UBI) to everyone. We...

Persistent link: https://www.econbiz.de/10012008734

Parallel American Monte Carlo

Herrera, Calypso - 2014

In this paper we introduce a new algorithm for American Monte Carlo that can be used either for American-style options, callable structured products or for computing counterparty credit risk (e.g. CVA or PFE computation). Leveraging least squares regressions, the main novel feature of our...

Persistent link: https://www.econbiz.de/10013055824

Risk Budgeting Portfolios from Simulations

Costa, Bernardo Freitas Paulo da; Pesenti, Silvana M.; … - 2022

Risk budgeting is a portfolio strategy where each asset contributes a prespecified amount to the aggregate risk of the portfolio. In this work, we propose a numerical framework that uses only simulations of returns for estimating risk budgeting portfolios. Specifically, we provide a Sample...

Persistent link: https://www.econbiz.de/10013296816

Levy-Driven Libor Models : Modeling and Numerical Analysis

Pidwerbitzka, Eva - 2016

In this survey we discuss different approaches of Libor Market Models with Levy forcing term. We begin with introduction to the Levy processes, and survey main approaches for modeling and numerical analysis of such models

Persistent link: https://www.econbiz.de/10012991481

Kriging Models that are Robust with Respect to Simulation Errors

Siem, A.Y.D; den Hertog, Dick - 2007

-consuming simulations. These simulations often contain simulation-model errors in the output variables. In the construction of meta …-models, these errors are often ignored. Simulation-model errors may be magnified by the meta-model. Therefore, in this paper, we … study the construction of Kriging models that are robust with respect to simulation-model errors. We introduce a robustness …

Persistent link: https://www.econbiz.de/10014224357

Agent-Based Simulation as an Implementation of Methodological Individualism

Di Iorio, Francesco - 2017

This paper investigates the relationship between methodological individualism (MI) and Agent-Based Simulation (ABS). We …

Persistent link: https://www.econbiz.de/10012941745

The influence of heterogeneous preferences on asset prices in an incomplete market model

Niehaus, Frank - 2001

Persistent link: https://www.econbiz.de/10001553294

Das Äquivalenzprinzip der Finanzmathematik

Walther, Ursula - 2002

Persistent link: https://www.econbiz.de/10001687821