LEADER 05620nam 2200709Ia 450 001 9910453302503321 005 20200520144314.0 010 $a1-281-91855-5 010 $a9786611918552 010 $a981-270-872-3 035 $a(CKB)1000000000554172 035 $a(EBL)1193680 035 $a(SSID)ssj0000303399 035 $a(PQKBManifestationID)12115129 035 $a(PQKBTitleCode)TC0000303399 035 $a(PQKBWorkID)10276226 035 $a(PQKB)11573321 035 $a(MiAaPQ)EBC1193680 035 $a(WSP)00006478 035 $a(Au-PeEL)EBL1193680 035 $a(CaPaEBR)ebr10698939 035 $a(CaONFJC)MIL191855 035 $a(OCoLC)820944257 035 $a(EXLCZ)991000000000554172 100 $a20070521d2007 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aModeling, measuring and managing risk$b[electronic resource] /$fGeorg Ch. Pflug, Werner Romisch 210 $aHackensack, N.J. $cWorld Scientific$dc2007 215 $a1 online resource (304 p.) 300 $aDescription based upon print version of record. 311 $a981-270-740-9 320 $aIncludes bibliographical references (p. 277-284) and index. 327 $aPreface; List of Symbols; Contents; 1. Modeling uncertain outcomes; 1.1 The three M's of decision making under uncertainty; 1.2 Probability models and scenario distributions; 1.2.1 Distribution functions and quantile functions; 1.2.2 Joint distributions and couplings; 1.2.3 Utility functions and order relations; 1.2.4 Compounding; 1.3 Standard statistical parameters; 1.3.1 Location parameters; 1.3.2 Dispersion parameters; 1.3.3 Correlation parameters; 2. Measuring single-period risk; 2.1 Probability functionals and their properties; 2.1.1 Properties of probability functionals 327 $a2.1.2 Version-independent properties of probability functionals 2.2 Acceptability functionals and deviation risk functionals; 2.2.1 Acceptance sets for translation-equivariant functionals; 2.2.2 Dual representations of concave and convex functionals; 2.2.3 The average value-at-risk; 2.2.4 Kusuoka representations; 2.3 Conditional acceptability and risk mappings; 2.3.1 Version independent conditional acceptability mappings; 2.3.2 More about the conditional average value-at-risk; 2.4 Classes of version-independent acceptability-type functionals; 2.4.1 Expected utility 327 $a2.4.2 Distortion functionals 2.4.3 Sup-convolutions; 2.4.4 Single-period polyhedral acceptability functionals; 2.4.5 Risk-corrected expectation and mean-risk models; 2.5 Classes of version-independent deviation-type functionals; 2.5.1 Deviation functionals of the form E[h(Y ¡ EY )]; 2.5.2 Deviation functionals of the form ||Y - EY||h; 2.5.3 Deviation functionals of the form ||[Y - EY ]-||h; 2.5.4 Deviation functionals of the form E[h(Y - Y')]; 2.5.5 Minimal loss risk functionals; 2.6 Summary; 3. Measuring multi-period risk; 3.1 Introduction to multi-period models 327 $a3.1.1 Evolving information: filtrations and tree pro- cesses3.1.2 Dynamic acceptability functionals; 3.1.3 Introducing information into single-period functionals; 3.1.3.1 Expected conditional acceptability functionals; 3.1.3.2 Dual extension of single-period functionals; 3.2 Multi-period risk functionals: basic properties; 3.2.1 Dual representations of multi-period acceptability functionals; 3.2.2 Version-independent multi-period risk functionals; 3.3 Classes of multi-period acceptability functionals; 3.3.1 Separable functionals; 3.3.2 Risk functionals of the value-of-information type 327 $a3.3.3 More about the multi-period average value-at-risk 3.3.4 Composition of conditional acceptability mappings; 3.3.5 Polyhedral multi-period acceptability functionals; 3.3.6 Polyhedral acceptability functionals in multi-stage stochastic programs; 3.4 Summary; 4. Single-stage decision models; 4.1 Stochastic optimization; 4.2 Efficient frontiers; 4.2.1 Simple deviation risk models; 4.2.2 Discrete models; 4.2.3 Standard deviation efficiency; 4.2.3.1 Introducing a risk-free asset; 4.2.4 Lower standard deviation efficiency; 4.2.5 Mean absolute deviation efficiency 327 $a4.2.6 Average value-at-risk deviation efficiency 330 $aThis book is the first in the market to treat single- and multi-period risk measures (risk functionals) in a thorough, comprehensive manner. It combines the treatment of properties of the risk measures with the related aspects of decision making under risk.The book introduces the theory of risk measures in a mathematically sound way. It contains properties, characterizations and representations of risk functionals for single-period and multi-period activities, and also shows the embedding of such functionals in decision models and the properties of these models. 606 $aDecision making$xStatistical methods 606 $aFunctionals$xStatistical methods 606 $aRisk assessment$xStatistical methods 606 $aRisk management$xStatistical methods 608 $aElectronic books. 615 0$aDecision making$xStatistical methods. 615 0$aFunctionals$xStatistical methods. 615 0$aRisk assessment$xStatistical methods. 615 0$aRisk management$xStatistical methods. 676 $a658.4/033 700 $aPflug$b Georg Ch.$f1951-$060249 701 $aRomisch$b Werner$0948711 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910453302503321 996 $aModeling, measuring and managing risk$92144533 997 $aUNINA LEADER 01102nam0-2200289 --450 001 9910889199703321 005 20241014122933.0 100 $a20241008d1964----kmuy0itay5050 ba 101 0 $aita 102 $aIT 105 $a 001yy 200 1 $aCodice della cambiale e dell'assegno bancario$eraccolta completa della legislazione vigente corredata di note illustrative, commentata articolo per articolo con la giurisprudenza e la bibliografia$eappendice di aggiornamento al 31 marzo 1964$f[a cura di] Dino Marchetti 210 $aRoma$cJandi Sapi$d1964 215 $aXVI, 608 p.$d17 cm 225 1 $aManuali Jandi Sapi. 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