Zobrazeno 1 - 10
of 90
pro vyhledávání: '"HAMEL, ANDREAS H."'
Autor:
Hamel, Andreas H., Löhne, Andreas
Optimization problems with random data have a wide range of applications. A typical feature of many such problems is that some variables have to be optimized before certain random coefficients have been realized and for other variables it is sufficie
Externí odkaz:
http://arxiv.org/abs/2407.04602
Motivated by situations in which the removal of a zero (a.k.a., an absorbing element) from a semigroup yields a subsemigroup with another zero, sets of quasi-zeros (a.k.a., quasi-absorbing elements) are introduced as well as primitive elements, minim
Externí odkaz:
http://arxiv.org/abs/2312.09914
Autor:
Linh, Ha Thi Khanh, Hamel, Andreas H
Recently defined expectile regions capture the idea of centrality with respect to a multivariate distribution, but fail to describe the tail behavior while it is not at all clear what should be understood by a tail of a multivariate distribution. The
Externí odkaz:
http://arxiv.org/abs/2312.09930
Autor:
Hamel, Andreas H, Kostner, Daniel
Cone distribution functions from statistics are turned into Multi-Criteria Decision Making tools. It is demonstrated that this procedure can be considered as an upgrade of the weighted sum scalarization insofar as it absorbs a whole collection of wei
Externí odkaz:
http://arxiv.org/abs/2312.03006
Autor:
Hamel, Andreas H, Kostner, Daniel
Algorithms are proposed for the computation of set-valued quantiles and the values of the lower cone distribution function for bivariate data sets. These new objects make data analysis possible involving an order relation for the data points in form
Externí odkaz:
http://arxiv.org/abs/2101.08628
Set- and vector-valued optimization problems can be re-formulated as complete lattice-valued problems. This has several advantages, one of which is the existence of a clear-cut solution concept which includes the attainment as the infimum (not presen
Externí odkaz:
http://arxiv.org/abs/2007.05588
A market model with $d$ assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a num\`eraire is not assumed. It is shown that robust no arbitrage holds if, an
Externí odkaz:
http://arxiv.org/abs/1909.00354
Autor:
Ararat, Cagin, Hamel, Andreas H
Publikováno v:
Theory of Probability and Its Applications 65 (2), 179-190, (2020)
It is shown that the recently introduced lower cone distribution function and the associated set-valued multivariate quantile generate a Galois connection between a complete lattice of closed convex sets and the intervall [0,1]. This generalizes the
Externí odkaz:
http://arxiv.org/abs/1812.06268
Autor:
Hamel, Andreas H
This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation results as well as several examples are discussed. Principal ways to const
Externí odkaz:
http://arxiv.org/abs/1812.04354
Via a family of monotone scalar functions, a preorder on a set is extended to its power set and then used to construct a hull operator and a corresponing complete lattice of sets. A function mappping into the preordered set is extended to a complete
Externí odkaz:
http://arxiv.org/abs/1812.03300