Mean variance optimization of non-linear systems and worst-case analysis
- 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
| Verfasserangaben: | Panos Parpas, Berc Rustem, Volker WielandORCiDGND, Stan Zakovic |
|---|---|
| URN: | urn:nbn:de:hebis:30-25940 |
| Titel des übergeordneten Werkes (Deutsch): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2006,03 |
| Schriftenreihe (Bandnummer): | CFS working paper series (2006, 03) |
| Dokumentart: | Arbeitspapier |
| Sprache: | Englisch |
| Jahr der Fertigstellung: | 2006 |
| Jahr der Erstveröffentlichung: | 2006 |
| Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Datum der Freischaltung: | 04.05.2006 |
| GND-Schlagwort: | Nichtlineares mathematisches Modell |
| Ausgabe / Heft: | January 13, 2006 |
| Seitenzahl: | 42 |
| HeBIS-PPN: | 190637528 |
| Institute: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Lizenz (Deutsch): |  Deutsches Urheberrecht |
