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Robust efficient frontier analysis with a separable uncertainty model
The mean - variance model effective portfolio construction model parameters return on assets uncertainty analysis and numerical examples
2015/8/10
Mean-variance (MV) analysis is often sensitive to model mis-specification or uncertainty, meaning that the MV efficient portfolios constructed with an estimate of the model parameters (i.e., the expec...
Approximate Interval Method for Epistemic Uncertainty Propagation using Polynomial Chaos and Evidence Theory
Approximate Interval Method Epistemic Uncertainty Propagation Evidence Theory
2011/9/29
Abstract: The paper builds upon a recent approach to find the approximate bounds of a real function using Polynomial Chaos expansions. Given a function of random variables with compact support probabi...
Decision Based Uncertainty Propagation Using Adaptive Gaussian Mixtures
Adaptive Gaussian Sum Decision Making Uncertainty Propagation Expected Loss
2011/9/29
Abstract: Given a decision process based on the approximate probability density function returned by a data assimilation algorithm, an interaction level between the decision making level and the data ...