1 resultado para Probability distribution functions
em KUPS-Datenbank - Universität zu Köln - Kölner UniversitätsPublikationsServer
Filtro por publicador
- KUPS-Datenbank - Universität zu Köln - Kölner UniversitätsPublikationsServer (1)
- Aberystwyth University Repository - Reino Unido (3)
- Academic Archive On-line (Karlstad University; Sweden) (1)
- Academic Archive On-line (Stockholm University; Sweden) (1)
- Adam Mickiewicz University Repository (1)
- AMS Tesi di Dottorato - Alm@DL - Università di Bologna (6)
- AMS Tesi di Laurea - Alm@DL - Università di Bologna (2)
- Applied Math and Science Education Repository - Washington - USA (8)
- Aquatic Commons (9)
- ArchiMeD - Elektronische Publikationen der Universität Mainz - Alemanha (8)
- Archivo Digital para la Docencia y la Investigación - Repositorio Institucional de la Universidad del País Vasco (7)
- Aston University Research Archive (42)
- Biblioteca de Teses e Dissertações da USP (1)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (14)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (BDPI/USP) (29)
- Biblioteca Digital de Teses e Dissertações Eletrônicas da UERJ (3)
- BORIS: Bern Open Repository and Information System - Berna - Suiça (11)
- Boston University Digital Common (3)
- Brock University, Canada (2)
- Bucknell University Digital Commons - Pensilvania - USA (1)
- Bulgarian Digital Mathematics Library at IMI-BAS (15)
- CaltechTHESIS (19)
- Cambridge University Engineering Department Publications Database (22)
- CentAUR: Central Archive University of Reading - UK (65)
- Chinese Academy of Sciences Institutional Repositories Grid Portal (64)
- Cochin University of Science & Technology (CUSAT), India (10)
- Collection Of Biostatistics Research Archive (2)
- CORA - Cork Open Research Archive - University College Cork - Ireland (2)
- Dalarna University College Electronic Archive (2)
- Deakin Research Online - Australia (26)
- Digital Commons - Michigan Tech (3)
- Digital Commons at Florida International University (5)
- DigitalCommons@The Texas Medical Center (2)
- DigitalCommons@University of Nebraska - Lincoln (1)
- Diposit Digital de la UB - Universidade de Barcelona (2)
- Doria (National Library of Finland DSpace Services) - National Library of Finland, Finland (1)
- DRUM (Digital Repository at the University of Maryland) (2)
- Duke University (6)
- eResearch Archive - Queensland Department of Agriculture; Fisheries and Forestry (3)
- FAUBA DIGITAL: Repositorio institucional científico y académico de la Facultad de Agronomia de la Universidad de Buenos Aires (1)
- FUNDAJ - Fundação Joaquim Nabuco (1)
- Greenwich Academic Literature Archive - UK (4)
- Helda - Digital Repository of University of Helsinki (13)
- Illinois Digital Environment for Access to Learning and Scholarship Repository (1)
- Indian Institute of Science - Bangalore - Índia (114)
- INSTITUTO DE PESQUISAS ENERGÉTICAS E NUCLEARES (IPEN) - Repositório Digital da Produção Técnico Científica - BibliotecaTerezine Arantes Ferra (1)
- Instituto Politécnico de Bragança (1)
- Instituto Politécnico do Porto, Portugal (7)
- Massachusetts Institute of Technology (5)
- National Center for Biotechnology Information - NCBI (3)
- Nottingham eTheses (6)
- Plymouth Marine Science Electronic Archive (PlyMSEA) (3)
- Publishing Network for Geoscientific & Environmental Data (10)
- QUB Research Portal - Research Directory and Institutional Repository for Queen's University Belfast (63)
- Queensland University of Technology - ePrints Archive (75)
- Repositorio Academico Digital UANL (1)
- Repositório Alice (Acesso Livre à Informação Científica da Embrapa / Repository Open Access to Scientific Information from Embrapa) (2)
- Repositório Científico da Universidade de Évora - Portugal (1)
- Repositório Científico do Instituto Politécnico de Lisboa - Portugal (2)
- Repositório digital da Fundação Getúlio Vargas - FGV (4)
- Repositorio Institucional da UFLA (RIUFLA) (1)
- Repositorio Institucional de la Universidad Pública de Navarra - Espanha (2)
- Repositório Institucional UNESP - Universidade Estadual Paulista "Julio de Mesquita Filho" (88)
- RUN (Repositório da Universidade Nova de Lisboa) - FCT (Faculdade de Cienecias e Technologia), Universidade Nova de Lisboa (UNL), Portugal (1)
- SAPIENTIA - Universidade do Algarve - Portugal (1)
- Universidad de Alicante (1)
- Universidad del Rosario, Colombia (7)
- Universidad Politécnica de Madrid (33)
- Universidade Complutense de Madrid (6)
- Universidade Federal do Pará (1)
- Universidade Federal do Rio Grande do Norte (UFRN) (7)
- Universitat de Girona, Spain (6)
- Universitätsbibliothek Kassel, Universität Kassel, Germany (7)
- Université de Lausanne, Switzerland (1)
- Université de Montréal, Canada (13)
- Université Laval Mémoires et thèses électroniques (2)
- University of Connecticut - USA (3)
- University of Michigan (2)
- University of Queensland eSpace - Australia (6)
- University of Southampton, United Kingdom (2)
- University of Washington (3)
- WestminsterResearch - UK (1)
Resumo:
This thesis builds a framework for evaluating downside risk from multivariate data via a special class of risk measures (RM). The peculiarity of the analysis lies in getting rid of strong data distributional assumptions and in orientation towards the most critical data in risk management: those with asymmetries and heavy tails. At the same time, under typical assumptions, such as the ellipticity of the data probability distribution, the conformity with classical methods is shown. The constructed class of RM is a multivariate generalization of the coherent distortion RM, which possess valuable properties for a risk manager. The design of the framework is twofold. The first part contains new computational geometry methods for the high-dimensional data. The developed algorithms demonstrate computability of geometrical concepts used for constructing the RM. These concepts bring visuality and simplify interpretation of the RM. The second part develops models for applying the framework to actual problems. The spectrum of applications varies from robust portfolio selection up to broader spheres, such as stochastic conic optimization with risk constraints or supervised machine learning.