搜索结果: 1-15 共查到“经济学 Robust”相关记录20条 . 查询时间(0.109 秒)
Robust parameter design for the optimisation of cutting conditions according to energy efficiency criteria
energy efficiency optimization sustainable development Taguchi design
2017/2/21
An important objective in process design in the wood-processing industry is to make the system robust – or insensitive – to sources of variability that cannot be entirely controlled once the system is...
This paper focuses on simple normative rules for monetary policy that central banks can use to
guide their interest rate decisions. Such rules were first derived from research on empirical
monetary ...
Robust Enforcement Should Complement Voluntary Regulation
Governance Compliance Business and Government Relations
2015/5/12
Spurred by the anti-regulation movement that started in the 1970s, voluntary self-regulation programs have emerged in many regulatory agencies, seeking to increase cooperation between government and i...
Robust Predictions in Infinite-Horizon Games—an Unrefinable Folk Theorem
Robustness Higher-order beliefs Dynamic games Folk Theorem
2014/9/10
We show that in any game that is continuous at infinity, if a plan of action ai is played by a type ti in a Bayesian Nash equilibrium, then there are perturbations of ti for which ai is the only ratio...
Robust utility maximization for Levy processes:Penalization and solvability
Convex risk measures duality robust utility Levy processes.
2012/9/14
In this paper the robust utility maximization problem for a market model based on Levy processes is analyzed. The interplay between the formof the utility function and the penalization function requir...
Robust Strategies for Optimal Order Execution in the Almgren-Chriss Framework
market impact optimal order execution Almgren-Chriss model robustness model uncertainty
2012/4/28
Assuming geometric Brownian motion as unaffected price process $S^0$, Gatheral & Schied (2011) derived a strategy for optimal order execution that reacts in a sensible manner on market changes but can...
ROBUST MONETARY POLICY UNDER UNCERTAINTY ABOUT CENTRAL BANK PREFERENCES
central bank opacity min杕ax policies model uncertainty robust control
2011/8/21
In this paper, we study the impact of central bank opacity on macroeconomic performances in a new Keynesian framework with model uncertainty using robust control techniques. We identify a new source o...
Robust Maximization of Asymptotic Growth under Covariance Uncertainty
Maximization Covariance Uncertainty
2011/7/19
This paper resolves a question proposed in Kardaras and Robertson (2011): how to invest in a robust growth-optimal way in a market where precise knowledge of the covariance structure of the underlying...
A Simple Spatial Dependence Test Robust to Local and Distributional Misspecifications
Spatial dependence Score test Robust test Distribution misspecification Local misspecification
2011/4/2
It is well known that the standard Lagrange multiplier (LM) test loses its local optimality when the true non-null model is not correctly specified. In this paper, we derive a score test robust to loc...
According to the Loss Distribution Approach, the operational risk of a bank is determined as 99.9% quantile of the respective loss distribution, covering unexpected severe events. The 99.9% quantile i...
Robust Estimators in Generalized Pareto Models
global robustness local robustness finite sample breakdown point
2010/10/20
We study global and local robustness properties of several estimators for shape and scale in a generalized Pareto model. The estimators considered in this paper cover maximum likelihood estimators, sk...
This paper addresses the question of how to invest in an extremely robust growth-optimal way in a market where the instantaneous expected return of the underlying process is unknown. The optimal inves...
Robust and Adaptive Algorithms for Online Portfolio Selection
Portfolio Selection Mean-Variance Portfolios Adaptive Filtering
2010/10/20
We present an online approach to portfolio selection. The motivation is within the context of algorithmic trading, which demands fast and recursive updates of portfolio allocations, as new data arrive...
Making Robust Decisions in Discrete Optimization Problems as a Game against Nature
Discrete optimization minmax minmax regret game against nature
2009/7/17
In this paper a discrete optimization problem under uncertainty is discussed. Solving such a problem can be seen as a game against nature. In order to choose a solution, the minmax and minmax regret ...
Robust pricing and hedging of double no-touch options
Robust pricing double no-touch options
2010/10/29
Double no-touch options, contracts which pay out a fixed amount provided an underlying asset remains within a given interval, are commonly traded, particularly in FX markets. In this work, we establis...
