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Algorithms for worst-case design and applications to risk management /
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 furth...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
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| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Princeton, N.J. ; Oxford :
Princeton University Press,
©2002.
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| Acceso en línea: | Texto completo |
| Sumario: | 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- |
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| Descripción Física: | 1 online resource (xv, 389 pages) |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 140081460X 9781400814602 9781400825110 1400825113 9781680158960 1680158961 |