Algorithms for Worst-Case Design and Applications to Risk Management

Algorithms for Worst-Case Design and Applications to Risk Management

2002 | 408 Pages | ISBN: 0691091544 | PDF | 3 MB

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-type uncertainty. Indeed, the determination of the worst case becomes nontrivial when faced with numerous--possibly infinite--and reasonably likely rival scenarios. Optimality does not depend on any single scenario but on all the scenarios under consideration. Worst-case optimal decisions provide guaranteed optimal performance for systems operating within the specified scenario range indicating the uncertainty. The noninferiority of minimax solutions--which also offer the possibility of multiple maxima--ensures this optimality.Worst-case design is not intended to necessarily replace expected value optimization when the underlying uncertainty is stochastic. However, wise decision making requires the justification of policies based on expected value optimization in view of the worst-case scenario. Conversely, the cost of the assured performance provided by robust worst-case decision making needs to be evaluated relative to optimal expected values.Written for postgraduate students and researchers engaged in optimization, engineering design, economics, and finance, this book will also be invaluable to practitioners in risk management.

Download:

http://longfiles.com/sl5efqsntiit/Algorithms_for_Worst-Case_Design_and_Applications_to_Risk_Management.pdf.html

[Fast Download] Algorithms for Worst-Case Design and Applications to Risk Management


Related eBooks:
Knowledge, Scale and Transactions in the Theory of the Firm
The Real World of Finance: 12 Lessons for the 21st Century
In Your Face: How American Marketing Excess Fuels Anti-Americanism
History of Scottish Economic Thought (Routledge History of Economic Thought)
Managing Information & Systems
Climate Smart Agriculture in South Asia: Technologies, Policies and Institutions
Who's Got Your Back: The Breakthrough Program to Build Deep, Trusting Relationships That Create Succ
Everyday Moral Economies: Food, Politics and Scale in Cuba
CIMA - C01 Fundamentals of Management Accounting: Practice Revision Kit
Accounting Principles, with CD, 6th Edition BY Jerry J. Weygandt, Donald E. Kieso, Paul D. Kimmel
The Economy of Ghana Sixty Years after Independence
Post-Keynesian Essays from Down Under Volume I: Essays on Keynes, Harrod and Kalecki: Theory and Pol
Copyright Disclaimer:
This site does not store any files on its server. We only index and link to content provided by other sites. Please contact the content providers to delete copyright contents if any and email us, we'll remove relevant links or contents immediately.