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SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
(Springer, 2014-01)
We consider interstage dependent stochastic linear programs where both the random right-hand side and the model of the underlying stochastic process have a special structure. Namely, for equality constraints (resp. inequality ...
Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs
(EMAp - Escola de Matemática Aplicada, 2016)
We consider a class of sampling-based decomposition methods to solve risk-averse multistage stochastic convex programs. We prove a formula for the computation of the cuts necessary to build the outer linearizations of the ...
Estimating risk aversion, risk-neutral and real-world densities using brazilian real currency options
(2012)
This paper uses the Liu et al. (2007) approach to estimate the optionimplied Risk-Neutral Densities (RND), real-world density (RWD), and relative risk aversion from the Brazilian Real/US Dollar exchange rate distribution. ...
Uncertainty aversion, risk aversion, and the optimal choice of portfolio
(The Econometric Society, 1992)
Empirical selection of optimal portfolios and its influence in the estimation of Kreps-Porteus utility function parameters
(Sociedade Brasileira de Econometria, 2016-03-10)
This paper investigates the effects on the estimation of parameters related to the elasticity of intertemporal substitution and risk aversion, of the selection of different portfolios to represent the optimal aggregate ...
Estimating relative risk aversion, the discount rate, and the intertemporal elasticity of substitution in consumption for Brazil using three types of utility function
(Sociedade Brasileira de Econometria, 2000-11-02)
Using the generalized method of moments, we estimate structural parameters related to relative-risk aversion, the discount rate of future utility, and the intertemporal elasticity of substitution in consumption for the ...
A Keynesian model of nominal wage rigidity
(Sociedade Brasileira de Econometria, 1990-04-01)
We present a Model that reflects Keynes' intuition concerning nominal wage rigidity: workers like to keep their relative status on society. Several results are presented, including the analysis of the influence of risk ...
Risk-averse feasible policies for large-scale multistage stochastic linear programs
(Springer Heidelberg, 2013-04)
We consider risk-averse formulations of stochastic linear programs having a structure that is common in real-life applications. Specifically, the optimization problem corresponds to controlling over a certain horizon a ...
Adverse selection and risk aversion in capital markets
(Mohr Siebeck, 2011-12)
We generalize Boadway and Keen's model of adverse selection in capital markets to allow for risk aversion on the part of entrepreneurs. We use the new model to analyze two types of policies. We first consider policies that ...
Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs
(Elsevier Science Bv, 2012-11)
We consider an interstage dependent stochastic process whose components follow an autoregressive model with time varying order. At a given time, we give some recursive formulae linking future values of the process with ...