1,721,199 research outputs found
Qualitative robustness of set-valued value-at-risk
No full textRisk measures are defined as functionals of the portfolio loss distribution, thus implicitly assuming the knowledge of such a distribution. However, in practical applications, the need for estimation arises and with it the need to study the effects of mis-specification errors, as well as estimation errors on the final conclusion. In this paper we focus on the qualitative robustness of a sequence of estimators for set-valued risk measures. These properties are studied in detail for two well-known examples of set-valued risk measures: the value-at-risk and the maximum average value-at-risk. Our results illustrate, in particular, that estimation of set-valued value-at-risk can be given in terms of random sets. Moreover, we observe that historical set-valued value-at-risk, while failing to be sub-additive, leads to a more robust procedure than alternatives such as the maximum likelihood average value at-risk
E. Gabrieli, B. Chiesa, V. Colombo, G. Crespi, G. Garbini, S. Noja, M. Pietrovski : L'Arabie avant l'Islam, 1994 Alain & Dalila Loviconi : Faïences de Tunisie, 1994
No full textDhoukar Hédi. E. Gabrieli, B. Chiesa, V. Colombo, G. Crespi, G. Garbini, S. Noja, M. Pietrovski : L'Arabie avant l'Islam, 1994 Alain & Dalila Loviconi : Faïences de Tunisie, 1994. In: Hommes et Migrations, n°1182, décembre 1994. Pour une éthique de l’intégration. Extraits du colloque de l'ADATE Saint-Martin-d'Hères, 24 et 25 juin 1994. pp. 45-46
Insights on the Theory of Robust Games
Full text linkA robust game is a distribution-free model to handle ambiguity generated by a bounded set of possible realizations of the values of players' payoff functions. The players are worst-case optimizers and a solution, called robust-optimization equilibrium, is guaranteed by standard regularity conditions. The paper investigates the sensitivity to the level of uncertainty of this equilibrium focusing on robust games with no private information. Specifically, we prove that a robust-optimization equilibrium is an epsilon-Nash equilibrium of the nominal counterpart game, where epsilon measures the extra profit that a player would obtain by reducing his level of uncertainty. Moreover, given an epsilon-Nash equilibrium of a nominal game, we prove that it is always possible to introduce uncertainty such that the epsilon-Nash equilibrium is a robust-optimization equilibrium. These theoretical insights increase our understanding on how uncertainty impacts on the solutions of a robust game. Solutions that can be extremely sensitive to the level of uncertainty as the worst-case approach introduces non-linearity in the payoff functions. An example shows that a robust Cournot duopoly model can admit multiple and asymmetric robust-optimization equilibria despite only a symmetric Nash equilibrium exists for the nominal counterpart game
L'ecografia Doppler nella diagnostica della stenosi arteriosa del rene trapiantato. Confronto con la scintigrafia
No full text
D.lgs. 6 settembre 2011, n. 159 (Codice delle leggi antimafia e delle misure di prevenzione)
No full textGoing Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
- …
