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2006 | 160
Tytuł artykułu

Dominacje w modelowaniu i analizie ryzyka na rynku finansowym

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Warianty tytułu
Dominance in Risk Modelling and Analysis on the Financial Market.
Języki publikacji
PL
Abstrakty
W pracy zaprezentowano narzędzie, jakim są dominacje stochastyczne w konstrukcji modeli dla zadań decyzyjnych w warunkach niepewności. Omówiono klasyczne definicje w powiązaniu z teorią użyteczności, a następnie warunkowe dominacje stochastyczne oraz dominacje probabilistyczne. Zanalizowano ryzyko związane z zadaniami decyzyjnymi w obszarze finansów. Dokonano próby połączenia opisu wielowartościowego z wielokryterialnym tak, aby zachować podstawowe zasady budowy portfela. Omówiono wykorzystanie dominacji do wyceny opcji europejskiej. Przedstawiono także teoretyczne wyniki dotyczące własności zbioru optymalnych efektywnych inwestycji budowlanych dla wybranych rozkładów zmiennych losowych o prawostronnej asymetrii.
EN
Stochastic dominance in multicriteria decision making and uncertainty has been presented by the author Classical definitions with a relation to the utility theory and then conditional stochastic dominance and probabilistic dominance have been discussed. Risk related to decision tasks in finances has been analyzed in the paper. (AŁ)
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160
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Twórcy
Bibliografia
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