Stability, empirical estimates and scenario generation in stochastic optimization - applications in finance

DOI10.14736/KYB-2017-6-1026zbMATH Open1449.90264OpenAlexW2783541063MaRDI QIDQ4637446

Vlasta Kaňková

Publication date: 18 April 2018

Published in: Kybernetika (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10338.dmlcz/147083

zbMATH Keywords

stabilityWasserstein metricstochastic dominanceLipschitz propertybankscenariomortgageprobability constraintsfinancial applicationsloanempirical estimateserror approximationstochastic programming problemsinstallments\(\mathcal{L}_1\) normdebtor

Mathematics Subject Classification ID

Stochastic programming (90C15)

This page was built for publication: Stability, empirical estimates and scenario generation in stochastic optimization - applications in finance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4637446)