Publications des institutions partenaires
Stochastic linear programs with recourse and arbitrary multivariate distributions
Institution partenaire
English / 01/01/2001
Term Structure Models in Multistage Stochastic Programming: Estimation and Approximation
This paper investigates some common interest rate models for scenario generation in financial applications of stochastic optimization. We discuss conditions for the underlying distributions of state variables which preserve convexity of value functions in a multistage stochastic program. One- and multi-factor term structure models are estimated based on historical data for the Swiss…
Institution partenaire
English / 01/12/2000
A General Robust Approach to the Analysis of Income Distribution, Inequality and Poverty
Income distribution embeds a large field of research subjects in economics. It is important to study how incomes are distributed among the members of a population in order for example to determine tax policies for redistribution to decrease inequality, or to implement social policies to reduce poverty. The available data come mostly from surveys (and not censuses as it is often…
Institution partenaire
English / 01/01/2000
Robust Logistic Regression for Binomial Responses
In this paper robustness properties of the maximum likelihood estimator (MLE) and several robust estimators for the logistic regression model when the responses are binary are analysed analytically by means of the Influence Function (IF) and empirically by means of simulations. It is found that the MLE and the classical Rao's score test can be misleading in the presence of model…
Institution partenaire
English / 01/01/2000
Robust Income Estimation with Missing Data
With income distributions it is common to encounter the problem of missing data. When a parametric model is fitted to the data, the problem can be overcome by specifying the marginal distribution of the observed data. With classical methods of estimation such as the maximum likelihood (ML) an estimator of the parameters can be obtained in a straightforward manner. Unfortunately, it…
Institution partenaire
English / 01/01/2000
Distributional Analysis: a Robust Approach
Distributional dominance criteria are commonly applied to draw welfare inferences about comparisons, but conclusions drawn from empirical implementations of dominance criteria may be influenced by data contamination. We show the conditions under which this may occur and propose empirical methods to work round the proble using both non-parametric and parametric approaches.
Institution partenaire
English / 01/01/2000
Test problems in stochastic multistage programming
This paper provides a set of stochastic multistage programs where the evolvement of uncertain factors is given by stochastic processes. We treat a practical problem statement within the field of managing fixed-income securities. Detailed information on the used parameter values in various interest rate models is given. Barycentric approximation is applied to obtain computational…
Institution partenaire
English / 01/01/2000
Comment on Giorgi's chapter: The Sampling Properties of Inequality Indices
Institution partenaire
English / 01/01/1999
Statistical Inference for Welfare under Complete and Incomplete Information
We show how a collection of results in the literature on the empirical estimation of welfare indicators from sample data can be unified. We also demonstrate how some of these ideas can be extended to empirically important cases where the data have been trimmed or censored.
Institution partenaire
English / 01/01/1999
Do Hospital Practices have an Effect on Women's Decision to Breastfeed: A UK Study
Institution partenaire
English / 01/01/1998
Statistical Inference for Lorenz Curves with Censored Data
Lorenz curves and associated tools for ranking income distributions are commonly estimated on the assumption that full, unbiased samples are available. However it is common to ¯nd income and wealth distributions that are routinely censored or trimmed. We derive the sampling distribution for a key family of statistics in the case where data have been modified in this fashion.
Institution partenaire
English / 01/01/1998
Time Series Models in Intertemporal Portfolio Optimisation
Institution partenaire
English / 01/01/1998
A Stochastic Optimization Model for the Investment of Savings Account Deposits
A bank's financial management faces various sources of uncertainty when funds from savings account deposits are invested in the marketplace. Future interest rates are unknown and customers are allowed to withdraw their deposits at any point in time. The objective is to find a portfolio of fixed income instruments that maximizes the bank's interest surplus from the…
Institution partenaire
English / 03/09/1997
Linear Duality, Term Structure, and Valuation
The paper's objective is to interpret no-arbitrage conditions by means of linear programming. Basic statements about the term structure of a market with frictions can be derived using the relation of primal and associated dual programs. The duality concept applies mutatis mutandis to the valuation of cash flows from an individual investor's point of view.
Institution partenaire
English / 03/09/1997
Resistant Modelling of Income Distributions and Inequality Measures
We review the use and the interpretation of some robustness concepts and techniques in some economic applications. We focus on estimation techniques in income distribution analysis and we discuss the reliability of inequality measures.
Institution partenaire
English / 01/01/1997
Approximations of Profit-and-Loss Distributions (Management Version)
The incorporation of single-factor interest rate models within the stochastic programming methodology is investigated and applied to multiperiod investment. Barycentric approximation is used for discretizing the stochastic factors and for generating scenario trees which take the various term structure movements into account. It is shown that employing the Vasicek model for the…
Institution partenaire
English / 01/01/1997
Approximations of Profit-and-Loss Distributions (Part II)
working report - Former investigation (Approximation of Profit-and-Loss Distributions, Part I) introduces the application of the barycentric approximation methodology for evaluating profit-and-loss distributions numerically. Although, convergence of the quantiles is ensured by the weak convergence of the discrete measures, as proclaimed in Part I, recent numerical results have…
Institution partenaire
English / 01/01/1997
Mean-Variance Analysis in a Multiperiod Setting
Similar to the classical Markowitz approach it is possible to apply a mean-variance criterion to a multiperiod setting to obtain efficient portfolios. To represent the stochastic dynamic characteristics necessary for modelling returns a process of asset returns is discretized with respect to time and space and summarized in a scenario tree. The resulting optimization problem is…
Institution partenaire
English / 01/01/1997
Refinement Issues in Stochastic Multistage Linear Programming
Institution partenaire
English / 17/06/1996
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