Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
20th International Probabilistic Workshop : IPW 2024 / / edited by José C. Matos, Paulo B. Lourenço, Daniel V. Oliveira, Jorge Branco, Dirk Proske, Rui A. Silva, Hélder S. Sousa
| 20th International Probabilistic Workshop : IPW 2024 / / edited by José C. Matos, Paulo B. Lourenço, Daniel V. Oliveira, Jorge Branco, Dirk Proske, Rui A. Silva, Hélder S. Sousa |
| Edizione | [1st ed. 2024.] |
| Pubbl/distr/stampa | Cham : , : Springer Nature Switzerland : , : Imprint : Springer, , 2024 |
| Descrizione fisica | 1 online resource (536 pages) |
| Disciplina | 519.2 |
| Collana | Lecture Notes in Civil Engineering |
| Soggetto topico |
Civil engineering
Probabilities Stochastic processes Production management Financial risk management Civil Engineering Probability Theory Stochastic Processes Operations Management Risk Management |
| ISBN |
9783031602719
9783031602702 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- Preface -- Organization -- Contents -- Keynotes -- Life-Cycle Probabilistic Multi-objective Optimum SHM Planning -- 1 Introduction -- 2 Framework for Life-Cycle Probabilistic Multi-objective Optimum SHM Planning -- 3 Objectives for Probabilistic Optimum SHM Planning -- 4 Multi-objective Optimization and Decision Making -- 5 Updating with Monitored Data -- 6 Conclusions -- References -- Toward a More Resilient Road Infrastructure -- 1 Introduction -- 2 The Benefit of Transportation Infrastructure -- 3 Measuring Resilience -- 3.1 Functionality -- 3.2 Safety and Environmental Impact During Recovery -- 3.3 Consequences of Disruptive Event -- 3.4 Maintenance and Improvement Interventions -- 3.5 Costs -- 3.6 Uncertainty -- 4 Measures to Improve Resilience -- 4.1 Measures to Improve Robustness -- 4.2 Measures to Improve Redundancy -- 4.3 Measure to Improve Rapidity of Recovery -- 4.4 Resourcefulness -- 5 Case Study -- 6 Conclusion -- References -- Resilience, Robustness and Redundancy of Infrastructure System -- Aerodynamic Shape Optimization of Long-Span Bridges -- 1 Introduction -- 1.1 Flutter Instability Theory -- 2 Fundamental Studies -- 2.1 Stability Analysis of the Prediction Method -- 3 Reliability-Based Design Optimization -- 4 Summary -- 4.1 Discussion -- Reference -- Computational Investigations on the In-Plane Capacity of a URM Wall: Effect of Material Uncertainty -- 1 Introduction -- 2 Discontinuous Presentation and Analysis of URM Walls -- 3 Validation of the Proposed Computational Modelling Strategy -- 4 Data Preparation for Nonspatial and Spatial Probabilistic Analysis -- 5 Results of the Probabilistic Analysis -- 5.1 Nonspatial Probabilistic Analysis -- 5.2 Spatial Probabilistic Analysis -- 6 Conclusions -- References -- Framework for Resilience Assessment as Decision Support for Traffic Infrastructure Operators.
1 Introduction -- 2 Description of the Framework -- 2.1 Hazards -- 2.2 Influence Characteristics -- 2.3 Hazard Potential -- 2.4 Definition of Resilience Indicators -- 3 Visualisation -- 4 Conclusion -- References -- Influence of Stud Shear Connectors Fatigue on the Entire Reliability of Composite Bridge Superstructure -- 1 Introduction -- 2 Model Analysis -- 2.1 Structural Model -- 2.2 The Dependence of the Joint Elements Stiffness on the Number of Loading Cycles -- 2.3 Equivalent Load Determination Method -- 2.4 Algorithm of Analysis and Clustering of the Loading Process -- 2.5 Parameters of the Probabilistic Calculation -- 3 Results and Discussion -- 4 Conclusion -- References -- Surrogate Model Approaches for the Evaluation of Structural Safety of Suspended Ceilings -- 1 Introduction -- 1.1 General -- 1.2 Suspended Ceilings -- 1.3 Direct Fastening -- 1.4 Redundant Fastening -- 1.5 Stratified Sampling Methods -- 1.6 Surrogate Model -- 2 Materials and Methods -- 2.1 Experimental Setup -- 2.2 Numerical Modeling -- 2.3 Simplified Model -- 3 Results and Discussion -- 4 Conclusions -- References -- Understanding Corrosion in Restored Concrete Zones Through Sensor Data Analysis -- 1 Introduction -- 2 Methodology -- 2.1 Electric Resistance as an Indicator of Durability -- 2.2 Stochastic Degradation Model -- 3 Application Description -- 4 Results and Discussion -- 5 Conclusions -- References -- Risk Assessment and Management -- Application of Structure-From-Motion Multi-view Stereo (SfM-MVS) Photogrammetry in First Response Inspection of Distressed Buildings -- 1 Introduction -- 1.1 The Strong Motion Events of 2020 -- 1.2 Motivation -- 2 SfM-MVS in Use -- 2.1 Education Based on the SfM-MVS Collected Examples -- 2.2 Assessments Supported by SfM-MVS -- 3 Experience in Post-Disaster Educational Materials Collection. 3.1 General Overview of the On-Site Situation -- 3.2 More Detailed Insight to the On-Site Situation -- 3.3 More Detailed Insight to the On-Site Situation -- 4 Conclusion -- References -- Comparison of Earthquake Design Regulations for Buildings in Iran and Germany -- 1 Introduction -- 2 Code Comparison -- 2.1 General -- 2.2 Seismic Zones Characterising the Impact -- 2.3 Ground Types Characterising the Transmission of Seismic Waves -- 2.4 Importance Factor Characterising the Social Significance -- 2.5 Standard Design Response Spectrum Characterising the Building's Response -- 3 Conclusion -- References -- Deriving Analytical Fragility Curves for Masonry Churches Based on Stochastic Nonlinear Analyses -- 1 Introduction -- 1.1 The Developed Methodology -- 1.2 Material Sampling Method -- 2 Application to the Case Study -- 2.1 Building Archetype Description -- 2.2 Archetype Finite Element (FE) Model -- 2.3 Mechanical Parameters' Ranges -- 3 Nonlinear Static Analysis -- 3.1 Derivation of the Fragility Curve -- 4 Conclusion -- References -- Discussion of Consequence Parameters for Risk Assessment of Bridges and Retaining Structures -- 1 Introduction -- 2 State of the Art -- 2.1 Introduction -- 2.2 Codes for Risk Analysis -- 2.3 Comparison of Different Risk Parameters -- 2.4 Comparison of Risk Parameters in Other Fields -- 2.5 Comparison of the Robustness of Risk Results -- 2.6 Conclusion -- 3 Discussion of the Consequence Parameters -- 3.1 Introduction -- 3.2 Number of Consequence Parameter -- 3.3 Most Common Consequence Parameter -- 3.4 Appropriateness of Consequence Parameter -- 4 Discussion -- References -- Evaluation of Fault Tree Analysis Algorithms for Probabilistic Risk Assessment: A Systematic Comparative Study -- 1 Introduction -- 2 Theoretical Background -- 2.1 Scram -- 2.2 MOCUS Algorithm -- 2.3 BDD Algorithm -- 2.4 ZBDD Algorithm. 2.5 CTT Algorithm -- 3 Analysis Methodology -- 4 Results and Discussion -- 4.1 Efficiency -- 4.2 Accuracy -- 5 Conclusions -- References -- Exoskeletons Development: Military Load Effort Analysis in an Operational Environment -- 1 Introduction -- 2 Methods -- 3 Results and Analysis -- 3.1 Effort Characterisation -- 3.2 Military Load -- 3.3 Military Workload -- 4 Conclusions -- References -- Flood Vulnerability of Transport Infrastructure: Classification of Construction Types, Structural Condition and Adaptation Measures to Reduce Vulnerability -- 1 Introduction -- 2 Method for Characterizing Vulnerability -- 2.1 Damage Patterns and Mechanisms -- 2.2 Classification of Construction Types -- 2.3 Inclusion of the Structural Condition -- 2.4 Assessment of Vulnerability -- 3 Map Visualization -- 4 Conclusions Regarding Adaptation to Reduce Vulnerability -- References -- Impact of Extreme Events on the Financial Performance of Infrastructure Projects -- 1 Introduction -- 2 Infrastructure Finance: A Brief Review -- 2.1 Sources of Funding, Financing Methods and Carbon Pricing -- 2.2 Traditional Financing Assessment Incorporating RDM -- 3 Comprehensive Dynamic Stochastic Model -- 3.1 Emissions -- 3.2 Extreme Events Modeling -- 3.3 Indirect Costs -- 4 Illustrative Case -- 4.1 Case Description -- 4.2 Financial Performance -- 5 Conclusion -- References -- Influence of Uncertainties on the Compound Rocking Failure Mechanism of Single-Nave Masonry Churches -- 1 Introduction -- 2 Macroblock Limit Analysis -- 3 Treatment of Uncertainty Due to Incomplete Knowledge -- 4 Regression Model for Simplified Assessment -- 5 Conclusion -- References -- K-Means Clustering Approach for Stock Risk Assessment and Portfolio Construction: A Case Study Based on the EU-EV Risk Model -- 1 Introduction -- 2 Methodology -- 2.1 Stock Clustering with EU-EV Risk Attributes. 2.2 Performance Evaluation -- 3 Application to the PSI Index -- 4 Conclusions -- References -- Modelling of Traffic Loads in a Full-Probabilistic Reassessment of Rural Bridges Based on Measurement Data - A Case Study -- 1 Introduction -- 2 Load Models for Bridges According to National and European Code Regulations -- 3 Probabilistic Approach for Modelling of Traffic Loads -- 4 Case Study - Heinrich's Bridge in Bamberg -- 4.1 Description of the Construction -- 4.2 Measurement Concept -- 4.3 Data Analysis -- 4.4 Results and Application -- 5 Summary and Conclusion -- References -- Non-destructively Measurable Quantities Relevant to Reliability Assessment of Existing Concrete Bridges - Case Studies -- 1 Introduction -- 2 Case Study I - Single-Span Motorway Bridge -- 3 Case Study II - Three-Span Highway Bridge -- 4 Conclusion -- References -- Optimization of Combustion Parameters in Heating Systems to Increase Efficiency and Environmental Protection -- 1 Introduction -- 2 Research Hypotheses -- 3 Research Methodology and Description -- 3.1 Research Methodology -- 3.2 Modelling Using Artificial Neural Networks -- 4 Results -- 5 Measures to Improve the Efficiency of the Heating System -- 6 Conclusion -- References -- Climate Change and Loading Uncertainties -- A Stochastic Framework of Risk Assessment of Flooding on Stability and Serviceability of Bridges Under a Changing Climate -- 1 Introduction -- 2 Methodology -- 2.1 Flood Frequency Analysis -- 2.2 Local Scour -- 2.3 Risk Assessment -- 3 Application -- 3.1 Case Study Description -- 3.2 River Flow Projections -- 4 Results and Discussions -- 4.1 River Flow Projections -- 4.2 Flood Frequency Analysis -- 4.3 Scour Estimates -- 4.4 Risk Assessment -- 5 Conclusions -- References -- Some Limitations of Statistical and Probabilistic Models and Current Developments -- 1 Introduction -- 2 State of the Art. 2.1 Introduction. |
| Record Nr. | UNINA-9910872196103321 |
| Cham : , : Springer Nature Switzerland : , : Imprint : Springer, , 2024 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Absolute continuity under time shift of trajectories and related stochastic calculus / / Jorg-Uwe Lobus
| Absolute continuity under time shift of trajectories and related stochastic calculus / / Jorg-Uwe Lobus |
| Autore | Löbus Jörg-Uwe |
| Pubbl/distr/stampa | Providence, Rhode Island : , : American Mathematical Society, , 2017 |
| Descrizione fisica | 1 online resource (148 pages) : illustrations |
| Disciplina | 515.222 |
| Collana | Memoirs of the American Mathematical Society |
| Soggetto topico |
Continuity
Stochastic processes Jump processes |
| Soggetto genere / forma | Electronic books. |
| ISBN | 1-4704-4137-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910479859303321 |
Löbus Jörg-Uwe
|
||
| Providence, Rhode Island : , : American Mathematical Society, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Absolute continuity under time shift of trajectories and related stochastic calculus / / Jorg-Uwe Lobus
| Absolute continuity under time shift of trajectories and related stochastic calculus / / Jorg-Uwe Lobus |
| Autore | Löbus Jörg-Uwe |
| Pubbl/distr/stampa | Providence, Rhode Island : , : American Mathematical Society, , 2017 |
| Descrizione fisica | 1 online resource (148 pages) : illustrations |
| Disciplina | 515.222 |
| Collana | Memoirs of the American Mathematical Society |
| Soggetto topico |
Continuity
Stochastic processes Jump processes |
| ISBN | 1-4704-4137-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910796234903321 |
|
Löbus Jörg-Uwe
|
||
| Providence, Rhode Island : , : American Mathematical Society, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Absolute continuity under time shift of trajectories and related stochastic calculus / / Jorg-Uwe Lobus
| Absolute continuity under time shift of trajectories and related stochastic calculus / / Jorg-Uwe Lobus |
| Autore | Löbus Jörg-Uwe |
| Pubbl/distr/stampa | Providence, Rhode Island : , : American Mathematical Society, , 2017 |
| Descrizione fisica | 1 online resource (148 pages) : illustrations |
| Disciplina | 515.222 |
| Collana | Memoirs of the American Mathematical Society |
| Soggetto topico |
Continuity
Stochastic processes Jump processes |
| ISBN | 1-4704-4137-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910810450303321 |
|
Löbus Jörg-Uwe
|
||
| Providence, Rhode Island : , : American Mathematical Society, , 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Adaptive stochastic methods : in computational mathematics and mechanics / / Dmitry G. Arseniev, Vladimir M. Ivanov, Maxim L. Korenevsky
| Adaptive stochastic methods : in computational mathematics and mechanics / / Dmitry G. Arseniev, Vladimir M. Ivanov, Maxim L. Korenevsky |
| Autore | Arsenjev Dmitry G. |
| Pubbl/distr/stampa | Berlin ; ; Boston : , : De Gruyter, , 2018 |
| Descrizione fisica | 1 online resource (xi, 278 pages) |
| Disciplina | 519.2 |
| Soggetto topico |
Stochastic processes
Stochastic integrals Adaptive control systems |
| Soggetto genere / forma | Electronic books. |
| ISBN | 3-11-055367-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Preface -- Contents -- Introduction: Statistical Computing Algorithms as a Subject of Adaptive Control -- Part I: Evaluation of Integrals -- 1. Fundamentals of the Monte Carlo Method to Evaluate Definite Integrals -- 2. Sequential Monte Carlo Method and Adaptive Integration -- 3. Methods of Adaptive Integration Based on Piecewise Approximation -- 4. Methods of Adaptive Integration Based on Global Approximation -- 5. Numerical Experiments -- 6. Adaptive Importance Sampling Method Based on Piecewise Constant Approximation -- Part II: Solution of Integral Equations -- 7. Semi-Statistical Method of Solving Integral Equations Numerically -- 8. Problem of Vibration Conductivity -- 9. Problem on Ideal-Fluid Flow Around an Airfoil -- 10. First Basic Problem of Elasticity Theory -- 11. Second Basic Problem of Elasticity Theory -- 12. Projectional and Statistical Method of Solving Integral Equations Numerically -- Afterword -- Bibliography -- Index |
| Record Nr. | UNINA-9910466995203321 |
|
Arsenjev Dmitry G.
|
||
| Berlin ; ; Boston : , : De Gruyter, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Adaptive stochastic methods : in computational mathematics and mechanics / / Dmitry G. Arseniev, Vladimir M. Ivanov, Maxim L. Korenevsky
| Adaptive stochastic methods : in computational mathematics and mechanics / / Dmitry G. Arseniev, Vladimir M. Ivanov, Maxim L. Korenevsky |
| Autore | Arsenjev Dmitry G. |
| Pubbl/distr/stampa | Berlin ; ; Boston : , : De Gruyter, , 2018 |
| Descrizione fisica | 1 online resource (xi, 278 pages) |
| Disciplina | 519.2 |
| Soggetto topico |
Stochastic processes
Stochastic integrals Adaptive control systems |
| ISBN | 3-11-055367-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Preface -- Contents -- Introduction: Statistical Computing Algorithms as a Subject of Adaptive Control -- Part I: Evaluation of Integrals -- 1. Fundamentals of the Monte Carlo Method to Evaluate Definite Integrals -- 2. Sequential Monte Carlo Method and Adaptive Integration -- 3. Methods of Adaptive Integration Based on Piecewise Approximation -- 4. Methods of Adaptive Integration Based on Global Approximation -- 5. Numerical Experiments -- 6. Adaptive Importance Sampling Method Based on Piecewise Constant Approximation -- Part II: Solution of Integral Equations -- 7. Semi-Statistical Method of Solving Integral Equations Numerically -- 8. Problem of Vibration Conductivity -- 9. Problem on Ideal-Fluid Flow Around an Airfoil -- 10. First Basic Problem of Elasticity Theory -- 11. Second Basic Problem of Elasticity Theory -- 12. Projectional and Statistical Method of Solving Integral Equations Numerically -- Afterword -- Bibliography -- Index |
| Record Nr. | UNINA-9910796608703321 |
|
Arsenjev Dmitry G.
|
||
| Berlin ; ; Boston : , : De Gruyter, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Adaptive stochastic methods : in computational mathematics and mechanics / / Dmitry G. Arseniev, Vladimir M. Ivanov, Maxim L. Korenevsky
| Adaptive stochastic methods : in computational mathematics and mechanics / / Dmitry G. Arseniev, Vladimir M. Ivanov, Maxim L. Korenevsky |
| Autore | Arsenjev Dmitry G. |
| Pubbl/distr/stampa | Berlin ; ; Boston : , : De Gruyter, , 2018 |
| Descrizione fisica | 1 online resource (xi, 278 pages) |
| Disciplina | 519.2 |
| Soggetto topico |
Stochastic processes
Stochastic integrals Adaptive control systems |
| ISBN | 3-11-055367-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Preface -- Contents -- Introduction: Statistical Computing Algorithms as a Subject of Adaptive Control -- Part I: Evaluation of Integrals -- 1. Fundamentals of the Monte Carlo Method to Evaluate Definite Integrals -- 2. Sequential Monte Carlo Method and Adaptive Integration -- 3. Methods of Adaptive Integration Based on Piecewise Approximation -- 4. Methods of Adaptive Integration Based on Global Approximation -- 5. Numerical Experiments -- 6. Adaptive Importance Sampling Method Based on Piecewise Constant Approximation -- Part II: Solution of Integral Equations -- 7. Semi-Statistical Method of Solving Integral Equations Numerically -- 8. Problem of Vibration Conductivity -- 9. Problem on Ideal-Fluid Flow Around an Airfoil -- 10. First Basic Problem of Elasticity Theory -- 11. Second Basic Problem of Elasticity Theory -- 12. Projectional and Statistical Method of Solving Integral Equations Numerically -- Afterword -- Bibliography -- Index |
| Record Nr. | UNINA-9910813724303321 |
|
Arsenjev Dmitry G.
|
||
| Berlin ; ; Boston : , : De Gruyter, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Additive and cancellative interacting particle systems / / David Griffeath
| Additive and cancellative interacting particle systems / / David Griffeath |
| Autore | Griffeath David |
| Edizione | [1st ed. 1979.] |
| Pubbl/distr/stampa | Berlin ; ; Heidelberg : , : Springer-Verlag, , 1979 |
| Descrizione fisica | 1 online resource (VIII, 112 p.) |
| Disciplina | 519.233 |
| Collana | Lecture Notes in Mathematics |
| Soggetto topico |
Markov processes
Stochastic processes |
| ISBN | 3-540-35174-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Additive systems -- Cancellative systems -- Uniqueness and nonuniqueness. |
| Record Nr. | UNISA-996466637203316 |
|
Griffeath David
|
||
| Berlin ; ; Heidelberg : , : Springer-Verlag, , 1979 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Advanced stochastic models, risk assessment, and portfolio optimization [[electronic resource] ] : the ideal risk, uncertainty, and performance measures / / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
| Advanced stochastic models, risk assessment, and portfolio optimization [[electronic resource] ] : the ideal risk, uncertainty, and performance measures / / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi |
| Autore | Rachev S. T (Svetlozar Todorov) |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley |
| Descrizione fisica | 1 online resource (39 p.) |
| Disciplina | 332 |
| Altri autori (Persone) |
StoyanovStoyan V
FabozziFrank J |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Stochastic processes
Mathematical optimization Risk assessment - Mathematical models Portfolio management - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-21730-1
0-470-25360-6 9786611217303 1-283-27295-4 9786613272959 1-118-08614-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization; Contents; Preface; Acknowledgments; About the Authors; Chapter 1 Concepts of Probability; 1.1 INTRODUCTION; 1.2 BASIC CONCEPTS; 1.3 DISCRETE PROBABILITY DISTRIBUTIONS; 1.4 CONTINUOUS PROBABILITY DISTRIBUTIONS; 1.5 STATISTICAL MOMENTS AND QUANTILES; 1.6 JOINT PROBABILITY DISTRIBUTIONS; 1.7 PROBABILISTIC INEQUALITIES; 1.8 SUMMARY; BIBLIOGRAPHY; Chapter 2 Optimization; 2.1 INTRODUCTION; 2.2 UNCONSTRAINED OPTIMIZATION; 2.3 CONSTRAINED OPTIMIZATION; 2.4 SUMMARY; BIBLIOGRAPHY; Chapter 3 Probability Metrics; 3.1 INTRODUCTION
3.2 MEASURING DISTANCES: THE DISCRETE CASE3.3 PRIMARY, SIMPLE, AND COMPOUND METRICS; 3.4 SUMMARY; 3.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 4 Ideal Probability Metrics; 4.1 INTRODUCTION; 4.2 THE CLASSICAL CENTRAL LIMIT THEOREM; 4.3 THE GENERALIZED CENTRAL LIMIT THEOREM; 4.4 CONSTRUCTION OF IDEAL PROBABILITY METRICS; 4.5 SUMMARY; 4.6 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 5 Choice under Uncertainty; 5.1 INTRODUCTION; 5.2 EXPECTED UTILITY THEORY; 5.3 STOCHASTIC DOMINANCE; 5.4 PROBABILITY METRICS AND STOCHASTIC DOMINANCE; 5.5 SUMMARY; 5.6 TECHNICAL APPENDIX; BIBLIOGRAPHY Chapter 6 Risk and Uncertainty6.1 INTRODUCTION; 6.2 MEASURES OF DISPERSION; 6.3 PROBABILITY METRICS AND DISPERSION MEASURES; 6.4 MEASURES OF RISK; 6.5 RISK MEASURES AND DISPERSION MEASURES; 6.6 RISK MEASURES AND STOCHASTIC ORDERS; 6.7 SUMMARY; 6.8 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 7 Average Value-at-Risk; 7.1 INTRODUCTION; 7.2 AVERAGE VALUE-AT-RISK; 7.3 AVaR ESTIMATION FROM A SAMPLE; 7.4 COMPUTING PORTFOLIO AVaR IN PRACTICE; 7.5 BACKTESTING OF AVaR; 7.6 SPECTRAL RISK MEASURES; 7.7 RISK MEASURES AND PROBABILITY METRICS; 7.8 SUMMARY; 7.9 TECHNICAL APPENDIX; BIBLIOGRAPHY Chapter 8 Optimal Portfolios8.1 INTRODUCTION; 8.2 MEAN-VARIANCE ANALYSIS; 8.3 MEAN-RISK ANALYSIS; 8.4 SUMMARY; 8.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 9 Benchmark Tracking Problems; 9.1 INTRODUCTION; 9.2 THE TRACKING ERROR PROBLEM; 9.3 RELATION TO PROBABILITY METRICS; 9.4 EXAMPLES OF r.d. METRICS; 9.5 NUMERICAL EXAMPLE; 9.6 SUMMARY; 9.7 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 10 Performance Measures; 10.1 INTRODUCTION; 10.2 REWARD-TO-RISK RATIOS; 10.3 REWARD-TO-VARIABILITY RATIOS; 10.4 SUMMARY; 10.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Index |
| Record Nr. | UNINA-9910461561503321 |
|
Rachev S. T (Svetlozar Todorov)
|
||
| Hoboken, N.J., : Wiley | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced stochastic models, risk assessment, and portfolio optimization [[electronic resource] ] : the ideal risk, uncertainty, and performance measures / / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
| Advanced stochastic models, risk assessment, and portfolio optimization [[electronic resource] ] : the ideal risk, uncertainty, and performance measures / / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi |
| Autore | Rachev S. T (Svetlozar Todorov) |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley |
| Descrizione fisica | 1 online resource (39 p.) |
| Disciplina | 332 |
| Altri autori (Persone) |
StoyanovStoyan V
FabozziFrank J |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Stochastic processes
Mathematical optimization Risk assessment - Mathematical models Portfolio management - Mathematical models |
| ISBN |
1-281-21730-1
0-470-25360-6 9786611217303 1-283-27295-4 9786613272959 1-118-08614-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization; Contents; Preface; Acknowledgments; About the Authors; Chapter 1 Concepts of Probability; 1.1 INTRODUCTION; 1.2 BASIC CONCEPTS; 1.3 DISCRETE PROBABILITY DISTRIBUTIONS; 1.4 CONTINUOUS PROBABILITY DISTRIBUTIONS; 1.5 STATISTICAL MOMENTS AND QUANTILES; 1.6 JOINT PROBABILITY DISTRIBUTIONS; 1.7 PROBABILISTIC INEQUALITIES; 1.8 SUMMARY; BIBLIOGRAPHY; Chapter 2 Optimization; 2.1 INTRODUCTION; 2.2 UNCONSTRAINED OPTIMIZATION; 2.3 CONSTRAINED OPTIMIZATION; 2.4 SUMMARY; BIBLIOGRAPHY; Chapter 3 Probability Metrics; 3.1 INTRODUCTION
3.2 MEASURING DISTANCES: THE DISCRETE CASE3.3 PRIMARY, SIMPLE, AND COMPOUND METRICS; 3.4 SUMMARY; 3.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 4 Ideal Probability Metrics; 4.1 INTRODUCTION; 4.2 THE CLASSICAL CENTRAL LIMIT THEOREM; 4.3 THE GENERALIZED CENTRAL LIMIT THEOREM; 4.4 CONSTRUCTION OF IDEAL PROBABILITY METRICS; 4.5 SUMMARY; 4.6 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 5 Choice under Uncertainty; 5.1 INTRODUCTION; 5.2 EXPECTED UTILITY THEORY; 5.3 STOCHASTIC DOMINANCE; 5.4 PROBABILITY METRICS AND STOCHASTIC DOMINANCE; 5.5 SUMMARY; 5.6 TECHNICAL APPENDIX; BIBLIOGRAPHY Chapter 6 Risk and Uncertainty6.1 INTRODUCTION; 6.2 MEASURES OF DISPERSION; 6.3 PROBABILITY METRICS AND DISPERSION MEASURES; 6.4 MEASURES OF RISK; 6.5 RISK MEASURES AND DISPERSION MEASURES; 6.6 RISK MEASURES AND STOCHASTIC ORDERS; 6.7 SUMMARY; 6.8 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 7 Average Value-at-Risk; 7.1 INTRODUCTION; 7.2 AVERAGE VALUE-AT-RISK; 7.3 AVaR ESTIMATION FROM A SAMPLE; 7.4 COMPUTING PORTFOLIO AVaR IN PRACTICE; 7.5 BACKTESTING OF AVaR; 7.6 SPECTRAL RISK MEASURES; 7.7 RISK MEASURES AND PROBABILITY METRICS; 7.8 SUMMARY; 7.9 TECHNICAL APPENDIX; BIBLIOGRAPHY Chapter 8 Optimal Portfolios8.1 INTRODUCTION; 8.2 MEAN-VARIANCE ANALYSIS; 8.3 MEAN-RISK ANALYSIS; 8.4 SUMMARY; 8.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 9 Benchmark Tracking Problems; 9.1 INTRODUCTION; 9.2 THE TRACKING ERROR PROBLEM; 9.3 RELATION TO PROBABILITY METRICS; 9.4 EXAMPLES OF r.d. METRICS; 9.5 NUMERICAL EXAMPLE; 9.6 SUMMARY; 9.7 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 10 Performance Measures; 10.1 INTRODUCTION; 10.2 REWARD-TO-RISK RATIOS; 10.3 REWARD-TO-VARIABILITY RATIOS; 10.4 SUMMARY; 10.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Index |
| Record Nr. | UNINA-9910789716503321 |
|
Rachev S. T (Svetlozar Todorov)
|
||
| Hoboken, N.J., : Wiley | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Soggetto topico
-
Stochastic processes
(715)
- Probabilities (112)
- Mathematical statistics (37)
- Stochastic Processes (37)
- Markov processes (35)