TY  - UNPD
A1  - Parpas, Panos
A1  - Rustem, Berc
A1  - Wieland, Volker
A1  - Zakovic, Stan
T1  - Mean variance optimization of non-linear systems and worst-case analysis
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2006,03
N2  - In this paper, we consider expected value, variance and worst-case optimization of nonlinear models. We present algorithms for computing optimal expected values, and variance, based on iterative Taylor expansions. We establish convergence and consider the relative merits of policies beaded on expected value optimization and worst-case robustness. The latter is a minimax strategy and ensures optimal cover in view of the worst-case scenario(s) while the former is optimal expected performance in a stochastic setting. Both approaches are used with a macroeconomic policy model to illustrate relative performances, robustness and trade-offs between the strategies. Klassifikation: C61, E43
T3  - CFS working paper series - 2006, 03 
KW  - Nichtlineares mathematisches Modell
Y1  - 2006
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/2802
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-25940
IS  - January 13, 2006
ER  -