The Economics of Risk PDF Download

Author: Donald J. Meyer
Publisher: W.E. Upjohn Institute
ISBN: 0880992689
Category : Business & Economics
Languages : en
Pages : 192

View

Book Description
Annotation This book contains a collection of papers that address various aspects of risk, including riskmanagement and how it is applied to decisionmaking and the impact of risk on markets

Author: David L. Banks
Publisher: CRC Press
ISBN: 1498712401
Category : Business & Economics
Languages : en
Pages : 220

View

Book Description
Winner of the 2017 De Groot Prize awarded by the International Society for Bayesian Analysis (ISBA)A relatively new area of research, adversarial risk analysis (ARA) informs decision making when there are intelligent opponents and uncertain outcomes. Adversarial Risk Analysis develops methods for allocating defensive or offensive resources against

Author: John Stachurski
Publisher: MIT Press
ISBN: 0262544776
Category : Business & Economics
Languages : en
Pages : 395

View

Book Description
The second edition of a rigorous and example-driven introduction to topics in economic dynamics that emphasizes techniques for modeling dynamic systems. This text provides an introduction to the modern theory of economic dynamics, with emphasis on mathematical and computational techniques for modeling dynamic systems. Written to be both rigorous and engaging, the book shows how sound understanding of the underlying theory leads to effective algorithms for solving real-world problems. The material makes extensive use of programming examples to illustrate ideas, bringing to life the abstract concepts in the text. Key topics include algorithms and scientific computing, simulation, Markov models, and dynamic programming. Part I introduces fundamentals and part II covers more advanced material. This second edition has been thoroughly updated, drawing on recent research in the field. New for the second edition: “Programming-language agnostic” presentation using pseudocode. New chapter 1 covering conceptual issues concerning Markov chains such as ergodicity and stability. New focus in chapter 2 on algorithms and techniques for program design and high-performance computing. New focus on household problems rather than optimal growth in material on dynamic programming. Solutions to many exercises, code, and other resources available on a supplementary website.

Author: Aharon Ben-Tal
Publisher: Princeton University Press
ISBN: 1400831059
Category : Mathematics
Languages : en
Pages : 565

View

Book Description
Robust optimization is still a relatively new approach to optimization problems affected by uncertainty, but it has already proved so useful in real applications that it is difficult to tackle such problems today without considering this powerful methodology. Written by the principal developers of robust optimization, and describing the main achievements of a decade of research, this is the first book to provide a comprehensive and up-to-date account of the subject. Robust optimization is designed to meet some major challenges associated with uncertainty-affected optimization problems: to operate under lack of full information on the nature of uncertainty; to model the problem in a form that can be solved efficiently; and to provide guarantees about the performance of the solution. The book starts with a relatively simple treatment of uncertain linear programming, proceeding with a deep analysis of the interconnections between the construction of appropriate uncertainty sets and the classical chance constraints (probabilistic) approach. It then develops the robust optimization theory for uncertain conic quadratic and semidefinite optimization problems and dynamic (multistage) problems. The theory is supported by numerous examples and computational illustrations. An essential book for anyone working on optimization and decision making under uncertainty, Robust Optimization also makes an ideal graduate textbook on the subject.

Author: Jan Weglarz
Publisher: Springer Science & Business Media
ISBN: 1461555337
Category : Business & Economics
Languages : en
Pages : 534

View

Book Description
Project scheduling problems are, generally speaking, the problems of allocating scarce resources over time to perform a given set of activities. The resources are nothing other than the arbitrary means which activities complete for. Also the activities can have a variety of interpretations. Thus, project scheduling problems appear in a large spectrum of real-world situations, and, in consequence, they have been intensively studied for almost fourty years. Almost a decade has passed since the multi-author monograph: R. Slowinski, 1. W~glarz (eds. ), Advances in Project Scheduling, Elsevier, 1989, summarizing the state-of-the-art across project scheduling problems, was published. Since then, considerable progress has been made in all directions of modelling and finding solutions to these problems. Thus, the proposal by Professor Frederick S. Hillier to edit a handbook which reports on the recent advances in the field came at an exceptionally good time and motivated me to accept the challenge. Fortunately, almost all leading experts in the field have accepted my invitation and presented their completely new advances often combined with expository surveys. Thanks to them, the handbook stands a good chance of becoming a key reference point on the current state-of-the-art in project scheduling, as well as on new directions in the area. The contents are divided into four parts. The first one, dealing with classical models -exact algorithms, is preceded by a proposition of the classification scheme for scheduling problems.

Author: Rose-Anne Dana
Publisher: Springer Science & Business Media
ISBN:
Category : Business & Economics
Languages : en
Pages : 512

View

Book Description
This book provides surveys of significant results of the theory of optimal growth, as well as the techniques of dynamic optimization theory on which they are based. With the results and methods of this theory researchers can apply these versatile methods of analysis in the area of dynamic economics.

Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 0470164891
Category : Business & Economics
Languages : en
Pages : 513

View

Book Description
Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University

Author: Lars Ljungqvist
Publisher: MIT Press
ISBN: 9780262122740
Category : Business & Economics
Languages : en
Pages : 1120

View

Book Description
A significant new edition of a text that offers both tools and sample applications; extensive revisions and seven new chapters improve and expand upon the original treatment.

Author: Lars Peter Hansen
Publisher: Princeton University Press
ISBN: 0691170975
Category : Business & Economics
Languages : en
Pages : 453

View

Book Description
The standard theory of decision making under uncertainty advises the decision maker to form a statistical model linking outcomes to decisions and then to choose the optimal distribution of outcomes. This assumes that the decision maker trusts the model completely. But what should a decision maker do if the model cannot be trusted? Lars Hansen and Thomas Sargent, two leading macroeconomists, push the field forward as they set about answering this question. They adapt robust control techniques and apply them to economics. By using this theory to let decision makers acknowledge misspecification in economic modeling, the authors develop applications to a variety of problems in dynamic macroeconomics. Technical, rigorous, and self-contained, this book will be useful for macroeconomists who seek to improve the robustness of decision-making processes.

Author: Ricardas Zitikis
Publisher: MDPI
ISBN: 3039285165
Category : Business & Economics
Languages : en
Pages : 210

View

Book Description
Developing techniques for assessing various risks and calculating probabilities of ruin and survival are exciting topics for mathematically-inclined academics. For practicing actuaries and financial engineers, the resulting insights have provided enormous opportunities but also created serious challenges to overcome, thus facilitating closer cooperation between industries and academic institutions. In this book, several renown researchers with extensive interdisciplinary research experiences share their thoughts that, in one way or another, contribute to the betterment of practice and theory of decision making under uncertainty. Behavioral, cultural, mathematical, and statistical aspects of risk assessment and modelling have been explored, and have been often illustrated using real and simulated data. Topics range from financial and insurance risks to security-type risks, from one-dimensional to multi- and even infinite-dimensional risks. The articles in the book were written with a broad audience in mind and should provide enjoyable reading for those with university level degrees and/or those who have studied for accreditation by various actuarial and financial societies.