Algorithms for worst-case design and applications to risk management
Recognizing that robust decision making is vital in risk management, this book provides concepts and algorithms for computing the best decision in view of the worst-case scenario. The main tool used is minimax, which ensures robust policies with guaranteed optimal performance that will improve furth...
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| Main Author | |
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| Other Authors | |
| Format | Electronic eBook |
| Language | English |
| Published |
Princeton, N.J. ; Oxford :
Princeton University Press,
©2002.
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| Subjects | |
| Online Access | Full text |
| ISBN | 140081460X 9781400814602 9781400825110 1400825113 9781680158960 1680158961 0691091544 1282157191 9781282157194 |
| Physical Description | 1 online resource (xv, 389 pages) |
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| Summary: | Recognizing that robust decision making is vital in risk management, this book provides concepts and algorithms for computing the best decision in view of the worst-case scenario. The main tool used is minimax, which ensures robust policies with guaranteed optimal performance that will improve further if the worst case is not realized. The applications considered are drawn from finance, but the design and algorithms presented are equally applicable to problems of economic policy, engineering design, and other areas of decision making. Critically, worst-case design addresses not only Armageddon- |
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| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 140081460X 9781400814602 9781400825110 1400825113 9781680158960 1680158961 0691091544 1282157191 9781282157194 |
| Access: | Plný text je dostupný pouze z IP adres počítačů Univerzity Tomáše Bati ve Zlíně nebo vzdáleným přístupem pro zaměstnance a studenty |
| Physical Description: | 1 online resource (xv, 389 pages) |