Arbeitspapier
Mean variance optimization of non-linear systems and worst-case analysis
In this paper, we consider expected value, variance and worst-case optimization of nonlinear models. We present algorithms for computing optimal expected values, and variance, based on iterative Taylor expansions. We establish convergence and consider the relative merits of policies beaded on expected value optimization and worst-case robustness. The latter is a minimax strategy and ensures optimal cover in view of the worst-case scenario(s) while the former is optimal expected performance in a stochastic setting. Both approaches are used with a macroeconomic policy model to illustrate relative performances, robustness and trade-offs between the strategies.
- Language
-
Englisch
- Bibliographic citation
-
Series: CFS Working Paper ; No. 2006/03
- Classification
-
Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Interest Rates: Determination, Term Structure, and Effects
- Event
-
Geistige Schöpfung
- (who)
-
Parpas, Panos
Rustem, Berc
Wieland, Volker
Zakovic, Stan
- Event
-
Veröffentlichung
- (who)
-
Goethe University Frankfurt, Center for Financial Studies (CFS)
- (where)
-
Frankfurt a. M.
- (when)
-
2006
- Handle
- URN
-
urn:nbn:de:hebis:30-25940
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Parpas, Panos
- Rustem, Berc
- Wieland, Volker
- Zakovic, Stan
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Time of origin
- 2006
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