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Modeling, measuring and managing risk [[electronic resource] /] / Georg Ch. Pflug, Werner Romisch
| Modeling, measuring and managing risk [[electronic resource] /] / Georg Ch. Pflug, Werner Romisch |
| Autore | Pflug Georg Ch. <1951-> |
| Pubbl/distr/stampa | Hackensack, N.J., : World Scientific, c2007 |
| Descrizione fisica | 1 online resource (304 p.) |
| Disciplina | 658.4/033 |
| Altri autori (Persone) | RomischWerner |
| Soggetto topico |
Decision making - Statistical methods
Functionals - Statistical methods Risk assessment - Statistical methods Risk management - Statistical methods |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-91855-5
9786611918552 981-270-872-3 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; 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
2.1.2 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 2.4.2 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 3.1.1 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 3.3.3 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 4.2.6 Average value-at-risk deviation efficiency |
| Record Nr. | UNINA-9910453302503321 |
Pflug Georg Ch. <1951->
|
||
| Hackensack, N.J., : World Scientific, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modeling, measuring and managing risk [[electronic resource] /] / Georg Ch. Pflug, Werner Romisch
| Modeling, measuring and managing risk [[electronic resource] /] / Georg Ch. Pflug, Werner Romisch |
| Autore | Pflug Georg Ch. <1951-> |
| Pubbl/distr/stampa | Hackensack, N.J., : World Scientific, c2007 |
| Descrizione fisica | 1 online resource (304 p.) |
| Disciplina | 658.4/033 |
| Altri autori (Persone) | RomischWerner |
| Soggetto topico |
Decision making - Statistical methods
Functionals - Statistical methods Risk assessment - Statistical methods Risk management - Statistical methods |
| ISBN |
1-281-91855-5
9786611918552 981-270-872-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; 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
2.1.2 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 2.4.2 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 3.1.1 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 3.3.3 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 4.2.6 Average value-at-risk deviation efficiency |
| Record Nr. | UNINA-9910782598603321 |
|
Pflug Georg Ch. <1951->
|
||
| Hackensack, N.J., : World Scientific, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modeling, measuring and managing risk / / Georg Ch. Pflug, Werner Romisch
| Modeling, measuring and managing risk / / Georg Ch. Pflug, Werner Romisch |
| Autore | Pflug Georg Ch. <1951-> |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hackensack, N.J., : World Scientific, c2007 |
| Descrizione fisica | 1 online resource (304 p.) |
| Disciplina | 658.4/033 |
| Altri autori (Persone) | RomischWerner |
| Soggetto topico |
Decision making - Statistical methods
Functionals - Statistical methods Risk assessment - Statistical methods Risk management - Statistical methods |
| ISBN |
1-281-91855-5
9786611918552 981-270-872-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Preface; 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
2.1.2 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 2.4.2 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 3.1.1 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 3.3.3 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 4.2.6 Average value-at-risk deviation efficiency |
| Record Nr. | UNINA-9910808778303321 |
|
Pflug Georg Ch. <1951->
|
||
| Hackensack, N.J., : World Scientific, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||