Dominacje w modelowaniu i analizie ryzyka na rynku finansowym

• Autorzy: Grażyna Trzpiot

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)

Słowa kluczowe

PL

Ekonomia matematyczna; Analiza stochastyczna; Analiza ryzyka; Podejmowanie decyzji w warunkach ryzyka; Wycena opcji; Przegląd literatury; Dominacja stochastyczna

EN

Mathematical economics; Stochastic analysis; Risk analysis; Decision making under conditions of risk; Options pricing; Literature review; Stochastic dominance

• Czasopismo: Prace Naukowe / Akademia Ekonomiczna w Katowicach
• Rocznik: 2006
• Strony: 160

Twórcy

autor

Grażyna Trzpiot

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