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Wang, Wei. "Sample Average Approximation of Risk-Averse Stochastic Programs." Diss., Georgia Institute of Technology, 2007. http://hdl.handle.net/1853/19784.
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Sample average approximation (SAA) is a well-known solution methodology for traditional stochastic programs which are risk neutral in the sense that they consider optimization of expectation functionals. In this thesis we establish sample average approximation methods for two classes of non-traditional stochastic programs. The first class is that of stochastic min-max programs, i.e., min-max problems with expected value objectives, and the second class is that of expected value constrained stochastic programs. We specialize these SAA methods for risk-averse stochastic problems with a bi-criteria objective involving mean and mean absolute deviation, and those with constraints on conditional value-at-risk. For the proposed SAA methods, we prove that the results of the SAA problem converge exponentially fast to their counterparts for the true problem as the sample size increases. We also propose implementation schemes which return not only candidate solutions but also statistical upper and lower bound estimates on the optimal value of the true problem. We apply the proposed methods to solve portfolio selection and supply chain network design problems. Our computational results reflect good performance of the proposed SAA schemes. We also investigate the effect of various types of risk-averse stochastic programming models in controlling risk in these problems.
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Brau, Rojas Agustin. "Controlled Markov chains with risk-sensitive average cost criterion." Diss., The University of Arizona, 1999. http://hdl.handle.net/10150/284004.
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Discrete controlled Markov chains with finite action space and bounded cost per stage are studied in this dissertation. The performance index function, the exponential average cost (EAC), models risk-sensitivity by means of an exponential (dis)utility function. First, for the finite state space model, the EAC corresponding to a fixed stationary (deterministic) policy is characterized in terms of the spectral radii of matrices associated to irreducible communicating classes of both recurrent and transient states. This result generalizes a well known theorem of Howard and Matheson, which treats the particular case in which the Markov cost chain has only one dosed class of states. Then, it is shown that under strong recurrence conditions, the risk-sensitive model approaches the risk-null model when the risk-sensitivity coefficient is small. However, it is proved and also illustrated by means of examples, that in general, fundamental differences arise between both models, e.g., the EAC may depend on the cost structure at the transient states. In particular, the behavior of the EAC for large risk-sensitivity is also analyzed. After showing that an exponential average optimality equation holds for the countable state space model, a proof of the existence of solutions to that equation for the finite model under a simultaneous Doeblin condition is provided, which is simpler than that given in recent work of Cavazos-Cadena and Fernandez-Gaucherand. The adverse impact of "large risk-sensitivity" on recently obtained conditions for the existence of solutions to an optimality inequality is illustrated by means of an example. Finally, a counterexample is included to show that, unlike previous results for finite models, a controlled Markov chain with infinite state space may not have ultimately stationary optimal policies in the risk-sensitive (exponential) discounted cost case, in general. Moreover, a simultaneous Doeblin condition is satisfied in our example, an assumption that enables the vanishing discount approach in the risk-null case, thus further suggesting that more restrictive conditions than those commonly used in the risk neutral context are needed to develop the mentioned approach for risk-sensitive criteria.
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Miller, Carrie A. "Communicating Colorectal Cancer Risk to Average Risk Adults: Examining the Impact on Risk Perceptions and Health Behavior Intentions." VCU Scholars Compass, 2018. https://scholarscompass.vcu.edu/etd/5632.
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Background. CRC risk can be reduced though lifestyle modification and regular screenings. Providing CRC risk feedback that promotes preventive behaviors to those at average risk has the potential to significantly reduce CRC morbidity and mortality.
Purpose. The purpose of this dissertation was to examine the impact of CRC risk assessment feedback among adults aged 50-75 with no personal or family history of the disease. The specific aims were to: (1a) test personalized (vs. generic) risk assessment feedback on individuals’ risk perceptions and intentions to engage in three risk-reducing behaviors (e.g., physical activity, diet, and screening); (1b) determine if the provision of CRC risk information influences breast cancer risk perceptions and mammography intentions; (2a) examine individuals’ accuracy of perceived lifetime risk of CRC; (2b) assess whether improved accuracy following risk assessment was associated with changes in behavioral intentions; and finally, (3) evaluate the use of a unique sampling procedure designed to increase diversity of survey respondents.
Methods. A pre-post parallel, two arm randomized controlled trial examined the effects of providing CRC risk assessment feedback that included lifetime risk estimates and information about CRC risk factors that was either personalized (treatment) or generic (control). N=419 average risk adults between the ages of 50-75 were recruited from a commercial online panel.
Results. There were no differences in risk perception between study arms. Overall participants, perceived lifetime risk of CRC lowered at post-test and seemingly produced a spillover effect in lowered perceived lifetime risk of breast cancer among females. CRC screening intentions increased in both study arms and mammography intentions increased in the control arm. Accuracy of lifetime risk improved at post-test, but was not associated with changes in intentions to perform risk reducing behaviors. Quota sampling acquired a targeted and diverse sample quickly and efficiently.
Conclusion. Communicating CRC risk information to average risk adults can improve CRC risk perception accuracy and enhance colorectal and mammography screening intentions. Risk assessment feedback did not consistently influence intentions to improve diet and physical activity.
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Tekaya, Wajdi. "Risk neutral and risk averse approaches to multistage stochastic programming with applications to hydrothermal operation planning problems." Diss., Georgia Institute of Technology, 2013. http://hdl.handle.net/1853/47582.
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The main objective of this thesis is to investigate risk neutral and risk averse approaches to multistage stochastic programming with applications to hydrothermal operation planning problems. The purpose of hydrothermal system operation planning is to define an operation strategy which, for each stage of the planning period, given the system state at the beginning of the stage, produces generation targets for each plant. This problem can be formulated as a large scale multistage stochastic linear programming problem. The energy rationing that took place in Brazil in the period 2001/2002 raised the question of whether a policy that is based on a criterion of minimizing the expected cost (i.e. risk neutral approach) is a valid one when it comes to meet the day-to-day supply requirements and taking into account severe weather conditions that may occur. The risk averse methodology provides a suitable framework to remedy these deficiencies. This thesis attempts to provide a better understanding of the risk averse methodology from the practice perspective and suggests further possible alternatives using robust optimization techniques. The questions investigated and the contributions of this thesis are as follows.
First, we suggest a multiplicative autoregressive time series model for the energy inflows that can be embedded into the optimization problem that we investigate. Then, computational aspects related to the stochastic dual dynamic programming (SDDP) algorithm are discussed. We investigate the stopping criteria of the algorithm and provide a framework for assessing the quality of the policy. The SDDP method works reasonably well when the number of state variables is relatively small while the number of stages can be large. However, as the number of state variables increases the convergence of the SDDP algorithm can become very slow. Afterwards, performance improvement techniques of the algorithm are discussed. We suggest a subroutine to eliminate the redundant cutting planes in the future cost functions description which allows a considerable speed up factor. Also, a design using high performance computing techniques is discussed. Moreover, an analysis of the obtained policy is outlined with focus on specific aspects of the long term operation planning problem. In the risk neutral framework, extreme events can occur and might cause considerable social costs. These costs can translate into blackouts or forced rationing similarly to what happened in 2001/2002 crisis. Finally, issues related to variability of the SAA problems and sensitivity to initial conditions are studied. No significant variability of the SAA problems is observed.
Second, we analyze the risk averse approach and its application to the hydrothermal operation planning problem. A review of the methodology is suggested and a generic description of the SDDP method for coherent risk measures is presented. A detailed study of the risk averse policy is outlined for the hydrothermal operation planning problem using different risk measures. The adaptive risk averse approach is discussed under two different perspectives: one through the mean-$avr$ and the other through the mean-upper-semideviation risk measures. Computational aspects for the hydrothermal system operation planning problem of the Brazilian interconnected power system are discussed and the contributions of the risk averse methodology when compared to the risk neutral approach are presented. We have seen that the risk averse approach ensures a reduction in the high quantile values of the individual stage costs. This protection comes with an increase of the average policy value - the price of risk aversion. Furthermore, both of the risk averse approaches come with practically no extra computational effort and, similarly to the risk neutral method, there was no significant variability of the SAA problems.
Finally, a methodology that combines robust and stochastic programming approaches is investigated. In many situations, such as the operation planning problem, the involved uncertain parameters can be naturally divided into two groups, for one group the robust approach makes sense while for the other the stochastic programming approach is more appropriate. The basic ideas are discussed in the multistage setting and a formulation with the corresponding dynamic programming equations is presented. A variant of the SDDP algorithm for solving this class of problems is suggested. The contributions of this methodology are illustrated with computational experiments of the hydrothermal operation planning problem and a comparison with the risk neutral and risk averse approaches is presented. The worst-case-expectation approach constructs a policy that is less sensitive to unexpected demand increase with a reasonable loss on average when compared to the risk neutral method. Also, we comp are the suggested method with a risk averse approach based on coherent risk measures. On the one hand, the idea behind the risk averse method is to allow a trade off between loss on average and immunity against unexpected extreme scenarios. On the other hand, the worst-case-expectation approach consists in a trade off between a loss on average and immunity against unanticipated demand increase. In some sense, there is a certain equivalence between the policies constructed using each of these methods.
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Coffindaffer, Jarrett W. "Colorectal cancer cost-effectiveness of screening and chemoprevention in average risk males /." Morgantown, W. Va. : [West Virginia University Libraries], 2006. https://eidr.wvu.edu/etd/documentdata.eTD?documentid=4633.
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Thesis (M.S.)--West Virginia University, 2006.Title from document title page. Document formatted into pages; contains ix, 98 p. : ill. (some col.). Includes abstract. Includes bibliographical references (p. 92-98).
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Griffey, Kathy R. "The effect of at-risk tutorial programs on student grade point average." Virtual Press, 1990. http://liblink.bsu.edu/uhtbin/catkey/720400.
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The purpose of the study was to determine the effectiveness of at-risk tutorial programs as measured by student grade point average.The population was defined as elementary students identif7ed by local school officials as being at-risk according to federal and state descriptions of at-risk youth and according to individual school program objectives. The sample consisted of 250 elementary students selected from nine schools in five school districts that offered Indiana Department of Education funded at-risk tutorial programs and who were identified as at-risk by local school officials.The independent variables were time and treatment utilizing a 3 (Time) x 3 (Treatment) design for the study. The dependent variable was grade point average. Intervening variables were gender, age, grade, socioeconomic status, tutor, race, type of treatment, motivation, parent input such as encouragement, and student participation in other special programs such as special counseling.The following three findings were a result of analysis of data collected for the study:1. The null hypothesis of no differences among group means was rejected at an alpha level of .05 using Wilks multivariate analysis of variance.2. Univariate F statistics revealed the multivariate difference among group means to be accounted for at Time 4.3. Scheffe' post hoc pair-wise comparisons for Time 4 revealed a difference existed between the Control Group and Experimental Group 1 and between Experimental Group 1 and Experimental Group 2. No difference existed between the Control Group and Experimental Group 2.One conclusion was evident as a result of procedures applied in the study. No differences of grade point average were proven to result from differing levels of participation in at-risk tutorial programs. Implications of the study were (a) at-risk students need to participate in long-term programs that provide services for the student K-12 school career and (b) short-term at-risk programs may cause decline of student progress when the program is withdrawn.Department of Educational Leadership
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Bretz, Frances. "Using average net returns and risk measures to compare irrigation management strategies." Thesis, Kansas State University, 2017. http://hdl.handle.net/2097/35548.
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Master of AgribusinessDepartment of Agricultural Economics
Nathan P. Hendricks
Risk and uncertainty are inherent in agriculture especially when lack of precipitation needed for crop production is common. Precipitation in the High Plains is highly variable. To supplement precipitation, the Ogallala Aquifer, a large underground water storage reservoir, was developed for irrigation. However, as the saturated thickness of the aquifer decreases, the rate at which water can be extracted (i.e., well capacities) decreases. Limited well capacities induce risk in agricultural production because producers may not be able to irrigate sufficiently in dry years. This study’s objective was to develop a method to assist producers in comparing alternative irrigation management strategies in the face of risk due to a limited well capacity. The objective was accomplished by simulating average net returns for 172 different irrigation strategies across 30 years (1986-2015) of historical weather (Kansas Mesonet 2016). Management strategies include different combinations of corn and wheat production with full irrigation, moderate irrigation, deficit irrigation and dryland production. The three risk measures were Value at Risk (VaR), expected shortfall, and standard deviation. The risk-return tradeoff is estimated for management strategies for two well capacities, 300 GPM (gallons per minute) and 600 GPM. Estimating these risk measures can help producers better evaluate the optimal management strategy compared to the approach of only equating average net returns.
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Claus, Lora Hamerschlag. "Proft Maximizing Hedging Strategies for Managers and Members of Vertical Beef Alliances." Thesis, Virginia Tech, 2003. http://hdl.handle.net/10919/31578.
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Vertical alliances are an increasingly common form of organization for participants in the beef industry. The implications of combining feeding and packing margins into one alliance are investigated. Moving average based selective hedging strategies are used to hedge the major inputs and outputs for cattle owners and packers to improve the level of mean revenue to the alliance. The success of the hedging program is evaluated from mean-variance and cash-flow perspectives.Master of Science
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Broll, Udo, Andreas Förster, and Wilfried Siebe. "Market Risk: Exponential Weightinh in the Value-at-Risk Calculation." Technische Universität Dresden, 2020. https://tud.qucosa.de/id/qucosa%3A72009.
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When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of expo-nential weighting in the Value-at-Risk calculation is very popular because it takes into account changes in market volatility (immediately) and can therefore quickly adapt to VaR. In less volatile market phases, this leads to a reduction in VaR and thus to lower own funds requirements for credit institutions. However, in the ex-ponential weighting a high volatility in the past is quickly forgotten and the VaR can be underestimated when using exponential weighting and the VaR may be un-derestimated. To prevent this, credit institutions or Alternative Investment Fund Managers are not completely free to choose a weighting (decay) factor. This article describes the legal requirements and deals with the calculation of the permissible weighting factor. As an example we use the exchange rate between Euro and Polish zloty to estimate the Value-at-Risk. We show the calculation of the weighting factor with two different approaches. This article also discusses exceptions to the general legal requirements.
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Cucurnia, Renato, and Ali Khadar. "Value at Risk : En kvantitativ studie av Historical Simulation Approach och Simple Moving Average Approach." Thesis, Umeå University, Umeå School of Business, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-34300.
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Cunningham, Antoinette Marie. "Credit Recovery and Grade Point Average in an Alternative High School System." ScholarWorks, 2018. https://scholarworks.waldenu.edu/dissertations/4917.
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Abstract
The dropout rates of African American and Hispanic students in the United States are significantly higher than that of White students. Failure to obtain a high school diploma has adverse economic and social implications for these students and for society. The purpose of this study was to assess the relationship between a credit recovery program with key demographic variables and high school GPA, which is a graduation antecedent, for students in an alternative school. Knowles' framework of adult learning theory was used to examine how participation in the credit recovery process in a system of predominantly African American-serving alternative schools predicted GPA while accounting for the influence of student demographic variables. The ex-post facto causal-comparative design involved the analysis of an archival random sample of 168 former students, 84 of whom had taken credit recovery courses and 84 of whom had not. A multiple linear regression model (R =0.257, F(4, 163) = 2.770, p = 0.029) indicated that only gender (β = 0.188, p = .02) significantly predicted the students' GPA, with female students outperforming males. A conclusion is that the implementation of credit recovery programs in U.S. schools does not have any impact on students' GPA. The results suggest weaknesses in program delivery and training and that the review and revision of professional development opportunities for teachers is merited. Drawing from the extant literature, a professional development recommendation was made to improve program effectiveness based on documented best practice examples. Implications for the promotion of positive social change include the evaluation of more robust credit recovery programs capable of improving the graduation rates of U.S. Hispanic and African American students.
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Sahadev, Keshav. "A volume-weighted-average-price (VWAP) method for estimating beta in the context of reference-day risk." Diss., University of Pretoria, 2017. http://hdl.handle.net/2263/64923.
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The ability to accurately estimate systematic risk (or beta) in the presence of reference-day risk is an ineluctable requirement for all applications of the capital asset pricing model (CAPM).
This research documents evidence of reference-day risk for shares on the Johannesburg All Share Index. In response to the need for greater accuracy when estimating systematic risk, this paper contributes a volume-weighted-average-price (VWAP) method for estimating beta when reference-day risk is exhibited in share betas.
Furthermore, this research applies a graphical time-series approach to test the underlying risk-reward tenet postulated by the CAPM. Using beta as a measure of systematic risk, this research finds that the CAPM appears to imperfectly specify the risk-reward trade-off.Mini Dissertation (MBA)--University of Pretoria, 2017.
lt2018
Gordon Institute of Business Science (GIBS)
MBA
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Ofe, Hosea, and Peter Okah. "Value at Risk: A Standard Tool in Measuring Risk : A Quantitative Study on Stock Portfolio." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-45303.
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The role of risk management has gained momentum in recent years most notably after the recent financial crisis. This thesis uses a quantitative approach to evaluate the theory of value at risk which is considered a benchmark to measure financial risk. The thesis makes use of both parametric and non parametric approaches to evaluate the effectiveness of VAR as a standard tool in measuring risk of stock portfolio. This study uses the normal distribution, student t-distribution, historical simulation and the exponential weighted moving average at 95% and 99% confidence levels on the stock returns of Sonny Ericsson, Three Months Swedish Treasury bill (STB3M) and Nordea Bank. The evaluations of the VAR models are based on the Kupiec (1995) Test. From a general perspective, the results of the study indicate that VAR as a proxy of risk measurement has some imprecision in its estimates. However, this imprecision is not all the same for all the approaches. The results indicate that models which assume normality of return distribution display poor performance at both confidence levels than models which assume fatter tails or have leptokurtic characteristics. Another finding from the study which may be interesting is the fact that during the period of high volatility such as the financial crisis of 2008, the imprecision of VAR estimates increases. For the parametric approaches, the t-distribution VAR estimates were accurate at 95% confidence level, while normal distribution approach produced inaccurate estimates at 95% confidence level. However both approaches were unable to provide accurate estimates at 99% confidence level. For the non parametric approaches the exponentially weighted moving average outperformed the historical simulation approach at 95% confidence level, while at the 99% confidence level both approaches tend to perform equally. The results of this study thus question the reliability on VAR as a standard tool in measuring risk on stock portfolio. It also suggest that more research should be done to improve on the accuracy of VAR approaches, given that the role of risk management in today’s business environment is increasing ever than before. The study suggest VAR should be complemented with other risk measures such as Extreme value theory and stress testing, and that more than one back testing techniques should be used to test the accuracy of VAR.
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Markowsky, Mary Elaine. "The effects of an oral language supplement on writing to read for at risk and average kindergarten children /." Access Digital Full Text version, 1987. http://pocketknowledge.tc.columbia.edu/home.php/bybib/10778160.
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Thesis (Ed. D.)--Teachers College, Columbia University, 1987.Typescript; issued also on microfilm. Sponsor: Jeannette E. Fleischner. Dissertation Committee: Linda Hickson Bilsky. Bibliography: leaves 141-157.
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Palmqvist, Söderman Linnéa, and Erica Johansson. "Personlighet och självbetjänande attributionsfel, prediktorer för risk- och smittförebyggande beteenden vid covid-19." Thesis, Mälardalens högskola, Akademin för hälsa, vård och välfärd, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-49215.
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Covid-19 pandemin har orsakat ett stort antal sjukdom- och dödsfall i Sverige. Människors beteende är avgörande för smittspridningens utveckling och blir därför värdefullt att undersöka. Aktuell studie testade huruvida Femfaktormodellens personlighetsdimensioner respektive självbetjänande attributionsfelen, bättre-än-medel-effekten och orealistisk optimism, samvarierar med och predicerar smittförebyggande beteenden vid covid-19 pandemin. En enkät besvarades av 126 högskolestudenter från Mellansverige. Resultatet visade inget signifikant samband mellan någon personlighetsdimension och smittförebyggande beteenden. Personlighet kan inte predicera risk- respektive smittförebyggande beteenden. Samtliga mätningar av bättre-än-medel-effekter och orealistisk optimism visade positiva samband med smittförebyggande beteenden varav enbart bättre-än-medel-effekten vad gäller den egna förmågan att skydda sig mot smitta kunde förklara variation i smittförebyggande beteenden. Intressant för framtida studier är att undersöka vad som ligger till grund för dessa resultat samt vidare undersöka vad annat som kan förklara människors beteenden vid pandemiska kriser.
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Zhang, Xiang. "Dynamic Probability Control Limits for Risk-Adjusted Bernoulli Cumulative Sum Charts." Diss., Virginia Tech, 2015. http://hdl.handle.net/10919/77889.
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The risk-adjusted Bernoulli cumulative sum (CUSUM) chart developed by Steiner et al. (2000) is an increasingly popular tool for monitoring clinical and surgical performance. In practice, however, use of a fixed control limit for the chart leads to quite variable in-control average run length (ARL) performance for patient populations with different risk score distributions. To overcome this problem, the simulation-based dynamic probability control limits (DPCLs) patient-by-patient for the risk-adjusted Bernoulli CUSUM charts is determined in this study. By maintaining the probability of a false alarm at a constant level conditional on no false alarm for previous observations, the risk-adjusted CUSUM charts with DPCLs have consistent in-control performance at the desired level with approximately geometrically distributed run lengths. Simulation results demonstrate that the proposed method does not rely on any information or assumptions about the patients' risk distributions. The use of DPCLs for risk-adjusted Bernoulli CUSUM charts allows each chart to be designed for the corresponding particular sequence of patients for a surgeon or hospital. The effect of estimation error on performance of risk-adjusted Bernoulli CUSUM chart with DPCLs is also examined. Our simulation results show that the in-control performance of risk-adjusted Bernoulli CUSUM chart with DPCLs is affected by the estimation error. The most influential factors are the specified desired in-control average run length, the Phase I sample size and the overall adverse event rate. However, the effect of estimation error is uniformly smaller for the risk-adjusted Bernoulli CUSUM chart with DPCLs than for the corresponding chart with a constant control limit under various realistic scenarios. In addition, there is a substantial reduction in the standard deviation of the in-control run length when DPCLs are used. Therefore, use of DPCLs has yet another advantage when designing a risk-adjusted Bernoulli CUSUM chart. These researches are results of joint work with Dr. William H. Woodall (Department of Statistics, Virginia Tech). Moreover, DPCLs are adapted to design the risk-adjusted CUSUM charts for multiresponses developed by Tang et al. (2015). It is shown that the in-control performance of the charts with DPCLs can be controlled for different patient populations because these limits are determined for each specific sequence of patients. Thus, the risk-adjusted CUSUM chart for multiresponses with DPCLs is more practical and should be applied to effectively monitor surgical performance by hospitals and healthcare practitioners. This research is a result of joint work with Dr. William H. Woodall (Department of Statistics, Virginia Tech) and Mr. Justin Loda (Department of Statistics, Virginia Tech).Ph. D.
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Jämtander, Jämtander. "Models explaining the average return on the Stockholm Stock Exchange." Thesis, Högskolan i Jönköping, Internationella Handelshögskolan, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-40360.
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Using three different models, we examine the determinants of average stock returns on the Stockholm Stock Exchange during 2012-2016. By using time-series data, we find that a Fama-French three-factor model (directed at capturing size and book-to-market ratio) functions quite well in the Swedish stock market and is able to explain the variation in returns better than the traditional CAPM. Additionally, we investigated if the addition of a Price/Earning variable to the Fama-French model would increase the explanatory power of the expected returns of the different dependent variables portfolios. We conclude that the P/E ratio does not influence the expected returns in the sample we used.
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Iselin, Michael. "Estimating the Potential Impact of Requiring a Stand-Alone Board-Level Risk Committee." The Ohio State University, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=osu1402311135.
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Charters, Thomas. "How effective are colorectal cancer screening programs at increasing the rate of screening in asymptomatic average-risk groups in Canada?" Thesis, McGill University, 2012. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=106578.
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Colorectal Cancer (CRC) is the third most commonly diagnosed cancer and second highest cause of cancer related mortality in Canada. Despite availability of screening services and establishment of guidelines, utilization of screening procedures in Canada has historically been low. ColonCancerCheck is an organized colorectal cancer screening program introduced in Ontario in 2008 which aims to increase screening adherence. The objectives of this study are to estimate the impact of ColonCancerCheck on screening behavior in the overall asymptomatic average risk population, examine demographic predictors of screening, and investigate how these are modified. Additionally, this analysis measures the effectiveness of ColonCancerCheck in how it modifies age-specific screening rates at the recommended initiation age of 50 years. This analysis uses data from five cycles of the Canadian Community Health Survey prior to and following program implementation. Survey cycles were pooled to create one average pseudo-population and bootstrap repeated replication techniques were applied for accurate variance calculation. A difference-in-differences design was used to evaluate the overall impact of ColonCancerCheck in Ontario relative to the rest of Canada and a regression discontinuity design was used to measure changes in screening rates at age 50. Outcomes include self-report of guaiac fecal occult blood test in the previous year or colonoscopy or flexible sigmoidoscopy in the previous year. Results indicate that factors which consistently influence the likelihood of screening include being physically active, having taken a flu shot, being of an older age, and having a regular medical doctor and greater numbers of physician consultations. The difference in differences analysis indicated that ColonCancerCheck has significantly increased screening in the average risk population although there is insufficient evidence to say that it has altered the demographic predictors of screening. Additionally, results from the regression discontinuity design indicate that screening rates at the age threshold of 50 in Ontario following the implementation of ColonCancerCheck increased significantly although further analysis was inconclusive as to the program causing this increase.Le cancer colorectal est le 3e cancer le plus communément diagnostiqué et le 2e type de cancer le plus mortel au Canada. Malgré l'existence de services de dépistage et l'établissement de directives, l'utilisation des procédures de dépistage a toujours été faible au Canada. ContrôleCancerColorectal est un programme structuré de dépistage de cancer colorectal mis en place en Ontario en 2008 et dont la finalité est d'augmenter la participation au dépistage. Cette étude a pour objectifs d'évaluer les répercussions de ContrôleCancerColorectal sur le comportement face au dépistage de l'ensemble de la population asymptomatique à risque moyen, d'examiner les prédicteurs démographiques de dépistage et d'analyser comment ceux-ci sont modifiés. Cette étude mesure également l'efficacité de ContrôleCancerColorectal, à savoir comment celui-ci modifie les taux de dépistage par âge à l'âge initial recommandé de 50 ans. Cette analyse utilise les données de cinq cycles de l'Enquête sur la santé dans les communautés canadiennes, avant et après la mise en place du programme. Les cycles d'enquête ont été regroupés afin de créer une pseudo-population moyenne et des méthodes de ré-échantillonnage bootstrap ont été adoptées pour effectuer un calcul précis de la variance. Un modèle de différence dans les différences a été utilisé pour évaluer les répercussions générales de ContrôleCancerColorectal en Ontario par rapport au reste du Canada et un plan de discontinuité de la régression a permis de mesurer les changements des taux de dépistage à 50 ans. Les résultats incluent les rapports des patients sur les tests guaiac de recherche de sang occulte dans les selles au cours de l'année passée, ou une colonoscopie ou une sigmoïdoscopie flexible au cours de l'année passée. Les résultats indiquent que les facteurs qui influent de façon constante sur la probabilité de dépistage sont notamment le fait d'être physiquement actif, d'avoir reçu un vaccin contre la grippe, d'être plus âgé, d'avoir un médecin habituel et d'aller à un plus grand nombre de consultations. L'analyse de la différence dans les différences indique que ContrôleCancerColorectal a considérablement augmenté le taux de dépistage dans la population à risque moyen bien qu'il n'existe pas de preuves suffisantes démontrant qu'il ait changé les prédicteurs démographiques de dépistage. De plus, les résultats du plan de discontinuité de la régression indiquent qu'en Ontario, à la suite de la mise en place de ContrôleCancerColorectal, les taux de dépistage à l'âge limite de 50 ans ont augmenté de façon significative bien qu'une analyse additionnelle n'ait pas permis de conclure quel était le programme à l'origine de cette augmentation.
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Blackley, David J. "Examining Stage at Diagnosis and Survival in Three Cancers with Definitive Screening Guidelines for Average-risk Adults: The Role of Marital Status." Digital Commons @ East Tennessee State University, 2013. https://dc.etsu.edu/etd/1140.
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Each year there are more than 350 000 new cases and nearly 100 000 deaths attributed to colorectal, female breast, and cervical cancer in the United States. Screening tests can reduce morbidity and mortality associated with these cancers. Patient marital status has been associated with health outcomes, but no study has focused on the relationship of marriage with disease stage and survival for the 3 cancers with established screening guidance. It is critical to identify special populations that may be at risk for poor cancer outcomes.
The objective of this study was to examine the relationship of marital status with disease stage at the time of diagnosis and cancer-specific survival among population-based cohorts of patients diagnosed with invasive colorectal, breast, or cervical cancers. Subjects came from states or regions reporting to the Surveillance, Epidemiology, and End Results (SEER) tumor registries. The study included more than 243 500 patients diagnosed between January 1st 2004 and December 31st 2006 with 1 of these 3 cancers and who were followed for a minimum of 3 years. Descriptive statistics were calculated to summarize patient demographic and clinical characteristics. Baseline category logit models were fit to evaluate the association between marital status and disease stage. Kaplan-Meier survival curves and Cox proportional hazards models were developed to evaluate differences in patient survival across 4 marital status categories.
Married adults with colorectal, breast, and cervical cancer were diagnosed at an earlier disease stage than those who were divorced/separated, widowed, or single. After controlling for stage and demographic factors, married patients also experienced superior cancer-specific survival (range: 19-33% better) as compared to those in non-married groups.
Divorced/separated, widowed, and single adults are a subset of the population that may benefit from targeted prevention or care initiatives for cancers than can be detected early. Social support networks, selection effects, or other causal mechanisms likely moderate the protective association observed between marriage and cancer outcomes. These findings characterize a meaningful disparity in health outcomes. Additional person-level data on preventive health behaviors and treatment decisions could help solidify understanding of the issue and improve the ability to design effective research, interventions, and policy.
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Pham, Hong Nga. "Flood risk assessment focusing on intangible vulnerability for rural floodplain area in Central Vietnam." Kyoto University, 2019. http://hdl.handle.net/2433/244499.
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Peyper, Wiehan Henri. "Comparing different exchange traded funds in South Africa based on volatility and returns / Wiehan Henri Peyper." Thesis, North West University, 2014. http://hdl.handle.net/10394/13086.
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Increasing sophistication of exchange traded fund (ETF) indexation methods required that a comparison be drawn between various methodologies. A performance and risk evaluation of four pre-selected ETF indexation categories were conducted to establish the diversification benefits that each contain. Fundamentally weighted, equally weighted and leveraged ETFs were compared to traditional market capitalisation weighted ETFs on the basis of risk and return. While a literature review presented the theory on ETFs and the various statistical measures used for this study, the main findings were obtained empirically from a sample of South African and American ETFs. Several risk-adjusted performance measures were employed to assess the risk and return of each indexation category. Special emphasis was placed on the Omega ratio due to the unique interpretation of the return series‟ distribution characteristics. The risk of each ETF category was evaluated using the exponentially weighted moving average (EWMA), while the diversification potential was determined by means of a regression analysis based on the single index model. According to the findings, fundamentally weighted ETFs perform the best during an upward moving market when compared by standard risk-adjusted performance measures. However, the Omega ratio analysis revealed the inherent unsystematic risk of alternatively indexed ETFs and ranked market capitalisation weighted ETFs as the best performing category. Equal weighted ETFs delivered consistently poor rankings, while leveraged ETFs exhibited a high level of risk associated with the amplified returns of this category. The diversification measurement concurred with the Omega ratio analysis and highlighted the market capitalisation weighted ETFs to be the most diversified ETFs in the selection. Alternatively indexed ETFs consequently deliver higher absolute returns by incurring greater unsystematic risk, while simultaneously reducing the level of diversification in the fund.MCom (Risk Management), North-West University, Vaal Triangle Campus, 2014
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Costa, Eliardo Guimarães da. "Tamanho amostral para estimar a concentração de organismos em água de lastro: uma abordagem bayesiana." Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-05072018-164225/.
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Metodologias para obtenção do tamanho amostral para estimar a concentração de organismos em água de lastro e verificar normas internacionais são desenvolvidas sob uma abordagem bayesiana. Consideramos os critérios da cobertura média, do tamanho médio e da minimização do custo total sob os modelos Poisson com distribuição a priori gama e binomial negativo com distribuição a priori Pearson Tipo VI. Além disso, consideramos um processo Dirichlet como distribuição a priori no modelo Poisson com o propósito de obter maior flexibilidade e robustez. Para fins de aplicação, implementamos rotinas computacionais usando a linguagem R.Sample size methodologies for estimating the organism concentration in ballast water and for verifying international standards are developed under a Bayesian approach. We consider the criteria of average coverage, of average length and of total cost minimization under the Poisson model with a gamma prior distribution and the negative binomial model with a Pearson type VI prior distribution. Furthermore, we consider a Dirichlet process as a prior distribution in the Poisson model with the purpose to gain more flexibility and robustness. For practical applications, we implemented computational routines using the R language.
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Löhndorf, Nils. "An empirical analysis of scenario generation methods for stochastic optimization." Elsevier, 2016. http://dx.doi.org/10.1016/j.ejor.2016.05.021.
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This work presents an empirical analysis of popular scenario generation methods for stochastic optimization, including quasi-Monte Carlo, moment matching, and methods based on probability metrics, as well as a new method referred to as Voronoi cell sampling. Solution quality is assessed by measuring the error that arises from using scenarios to solve a multi-dimensional newsvendor problem, for which analytical solutions are available. In addition to the expected value, the work also studies scenario quality when minimizing the expected shortfall using the conditional value-at-risk. To quickly solve problems with millions of random parameters, a reformulation of the risk-averse newsvendor problem is proposed which can be solved via Benders decomposition. The empirical analysis identifies Voronoi cell sampling as the method that provides the lowest errors, with particularly good results for heavy-tailed distributions. A controversial finding concerns evidence for the ineffectiveness of widely used methods based on minimizing probability metrics under high-dimensional randomness.
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Arnold, Patrick. "Probabilistic modelling of unsaturated slope stability accounting for heterogeneity." Thesis, University of Manchester, 2017. https://www.research.manchester.ac.uk/portal/en/theses/probabilistic-modelling-of-unsaturated-slope-stability-accounting-for-heterogeneity(fb3d214c-8a42-4a2c-81c2-bda45e9ae7af).html.
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The performance and safety assessment of geo-structures is strongly affected by uncertainty; that is, both due a subjective lack of knowledge as well as objectively present and irreducible unknowns. Due to uncertainty in the non-linear variation of the matric suction induced effective stress as a function of the transient soil-atmosphere boundary conditions, the unsaturated state of the subsoil is generally not accounted for in a deterministic slope stability assessment. Probability theory, accounting for uncertainties quantitatively rather than using "cautious estimates" on loads and resistances, may aid to partly bridge the gap between unsaturated soil mechanics and engineering practice. This research investigates the effect of uncertainty in soil property values on the stability of unsaturated soil slopes. Two 2D Finite Element (FE) programs have been developed and implemented into a parallelised Reliability-Based Design (RBD) framework, which allows for the assessment of the failure probability, failure consequence and parameter sensitivity, rather than a deterministic factor of safety. Utilising the Random Finite Element Method (RFEM), within a Monte Carlo framework, multivariate cross-correlated random property fields have been mapped onto the FE mesh to assess the effect of isotropic and anisotropic moderate heterogeneity on the transient slope response, and thus performance. The framework has been applied to a generic slope subjected to different rainfall scenarios. The performance was found to be sensitive to the uncertainty in the effective shear strength parameters, as well as the parameters governing the unsaturated soil behaviour. The failure probability was found to increase most during prolonged rainfall events with a low precipitation rate. Nevertheless, accounting for the unsaturated state resulted in a higher slope reliability than when not considering suction effects. In a heterogeneous deposit failure is attracted to local zones of low shear strength, which, for an unsaturated soil, are a function of both the spatial variability of soil property values, as well as of the soil-water dynamics, leading to a significant increase in the failure probability near the end of the main rainfall event.
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Rysz, Maciej Wladyslaw. "Risk-averse optimization in networks." Diss., University of Iowa, 2014. https://ir.uiowa.edu/etd/6494.
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The primary goal of this research is to model and develop efficient solution techniques for graph theoretical problems with topologically stochastic information that manifests in a various forms. We employ a stochastic programming framework that is based on a formalism of coherent risk measures in order to find minimum-risk graph structures with stochastic vertex weights. Namely, we propose a class of risk-averse maximum weighted subgraph problems that represent a stochastic extension of the so-called maximum weight subgraph problems considered in graph-theoretical literature.
The structural nature of these model poses a twofold challenge in developing efficient solution algorithms.
First, accurate quantification of uncertainties in mathematical programming via risk measures in the form of convex constraints typically requires very large representative scenario sets, thus incurring lengthy solution times. In this regard, we first introduce an efficient algorithms for solving large-scale stochastic optimization problems involving measures of risk that are based on centrality equivalents.
The second major challenge relates to the fact that problems of finding a maximum subset of a defined property within a network are generally not solvable in polynomial time. Nevertheless, much emphasis has been placed on developing faster exact combinatorial solution methodologies that exploit the structural nature of the sought subgraphs. In pursuance of analogous frameworks, we propose a graph-based branch-and-bound algorithm for solving models in the risk-averse maximum weighted subgraph problem class that is generally applicable to problems where a subgraph's weight is given by a super-additive function whose evaluation requires solving an optimization problem. As an illustrative example of the developed concepts, we consider risk-averse maximum weighted clique and k-club problems. The mentioned network studies address problems with topologically exogenous information in the form uncertainties induced by stochastic factors associated with vertices. This assumption clearly relies on the premise that the network is structurally unvarying. For many application, however, it may also be of interest to examine decision making under conditions that admit topological changes of the network. To this end, we consider a two-stage stochastic recourse maximum clique problem that seeks to maximize the expected size of a clique over the decision time horizon. Namely, a subset of vertices composing a clique is select in the first-stage, after which realizations of uncertainty in the form of edge failures and creations arise. Then, the second-stage recourse is taken to "repair" the subset selected in the first stage by adding or removing nodes in order to ascertain its completeness. Numerical experiments for the above studies demonstrating the underlying problem properties and improvements in computational time achieved by the developed algorithms are conducted.
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Gavagna, Jacopo. "Quality Inbound: Analisi delle metodologie di controllo del materiale in inbound e dimensionamento delle politiche di controllo associate." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2017.
Find full textAbstract:
Oggetto della Tesi Aziendale è la definizione delle politiche di controllo e dimensionamento nell’ambito del Controllo Qualità in Accettazione (CQA) per materiale acquistato dai fornitori, volto alla strutturazione del processo in una realtà aziendale, con lo scopo di identificare il tipo di controllo qualità da associare a ciascun codice e dimensionare la quantità da controllare. Dopo alcune considerazioni generali sulla importanza del controllo qualità nell’odierno contesto industriale e sui benefici apportati dai metodi statistici per il miglioramento della qualità (SPC, Statistical Process Control), (DOE, Design Of Experiments) (Acceptance Sampling) la trattazione illustra i piani di campionamento in accettazione, i rischi e i vantaggi tipici del campionamento.
Il nucleo centrale, dopo l’analisi della situazione di partenza (caratterizzata da assenza di strutturazione del CQA) e delle criticità riscontrate, è focalizzato su una versione semplificata del modello di campionamento Semplice dello standard MIL STD 105 E (ISO 2859-1), che consente di mantenere la qualità al livello di riferimento. Infine, dopo aver discusso le tipologie di controllo, le categorie degli articoli individuate (assegnando per ciascuna un set di possibili AQL), le dimensioni del campionamento e le regole di commutazione (Switching Rules) si è cercato di fornire le motivazioni tecniche-gestionali ed economiche delle scelte effettuate e i vantaggi delle decisioni adottate.
Nella parte finale vengono mostrate le schermate principali del Tool applicativo sviluppato, con indicazione sintetica delle possibili analisi che consente grazie alle tabelle: Aggregato Controlli, Aggregato Andamenti e Storico Cause NC.
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Chicoisne, Renaud Pierre. "Efficient algorithms for risk averse optimization." Tesis, Universidad de Chile, 2015. http://repositorio.uchile.cl/handle/2250/135193.
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Doctor en Sistemas de IngenieríaMuchos problemas de decisión industriales o logísticos pueden ser vistos como problemas de optimización y para muchos de ellos no es razonable ocupar datos deterministas. Como veremos en este trabajo en el contexto de despachos de emergencia o de planificación de seguridad, las condiciones reales son desconocidas y tomar decisiones sin considerar esta incertidumbre pueden llevar a resultados catastróficos. La teoría y la aplicación de optimización bajo incertidumbre es un tema que ha generado un amplio área de investigación. Sin embargo, aún existen grandes diferencias en complejidad entre optimización determinista y su versión incierta. En esta tesis, se estudian varios problemas de optimización con aversión al riesgo con un enfasis particular en el problema de camino más corto (RASP), problemas estocásticos en redes en general y juegos de seguridad de Stackelberg. Para obtener distribuciones de tiempos de viaje precisos sobre una red vial a partir de datos GPS del sistema de tránsito, se presenta una revisión de los métodos existentes para proyectar trayectorias GPS y se definen dos nuevos algoritmos: Uno que permite la proyección de datos óptima con respecto a una medida de error convenientemente definida (MOE), y un método heurístico rápido que permite proyectar grandes cantidades de datos de manera contínua (MMH). Se presentan resultados computacionales en redes reales y generadas de gran tamaño. Luego, se desarrollan algoritmos eficientes para problemas de ruteo con aversión al riesgo utilizando métodos de Sample Average Approximation, técnicas de linealización y métodos de descomposición. Se estudian la medida de riesgo entrópica y el Conditional Value at Risk considerando correlaciones entre las variables aleatorias. Se presentan resultados computacionales prometedores en instancias generadas de tamaño mediano. Sin embargo, la naturaleza combinatorial de los problemas los vuelve rapidamente intratable a medida que el tamaño del problema crece. Para hacer frente a esta dificultad computacional, se presentan nuevas formulaciones para problemas en redes difíciles, que tienen un menor número de variables enteras. Estas formulaciones ayudan a derivar esquemas de brancheo que se aprovechan de la estructura especial de las formulaciones propuestas. Se muestra como aplicar estas ideas a los conjuntos de camino simple y de circuito hamiltoniano en redes generales, así como los conjuntos de camino simple y de corte en grafos dirigidos acíclicos (DAG). Este trabajo preliminar muestra ideas prometedoras para resolver problemas difíciles. Finalmente, se exploran las implicaciones de los métodos algortmicos y las formulaciones desarrolladas para resolver RASP en un área diferente. Se presentan nuevas formulaciones y enfoques de resolución para juegos de seguridad de Stackelberg cuando el defensor es averso al riesgo con respecto a la estrategia del atacante. Esto se puede resolver de manera polinomial cuando se enfrenta a un adversario y resolviendo un problema de optimización convexa en números enteros cuando el defensor enfrenta varios tipos de adversarios.
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Bezděk, Petr. "Investiční modely v prostředí finančních trhů." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2016. http://www.nusl.cz/ntk/nusl-234818.
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The content of my master´s thesis is the creation of automatic trading system which will be applied on real trading account mainly on financial markets of currency pairs. The thesis is divided to several parts where the theoretical part will introduce the problem of trading on financial markets. Following part analyses needs of small trader on the financial markets, selecting suitable instruments which will be used in automatic trading system. The part of the own solution design will create the mentioned automatic trading system which will be applied on broker´s demo account where the system will be tested mainly on historical data. Based on test results, system will be optimized and in case of usable results of testing also system will be applied on real trading account in trading company.
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Cakmak, Ulas. "On risk-averse and robust inventory problems." Diss., Georgia Institute of Technology, 2012. http://hdl.handle.net/1853/44745.
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The thesis focuses on the analysis of various extensions of the classical multi-period single-item stochastic inventory problem. Specifically, we investigate two particular approaches of modeling risk in the context of inventory management: risk-averse models and robust formulations. We analyze the classical newsvendor problem utilizing a coherent risk measure as the objective function. Properties of coherent risk measures allow us to offer a unifying treatment of risk averse and min-max type formulations. We show that the structure of the optimal policy of the risk-averse model is similar to that of the classical expected value problem for both single and multi-period cases. The result carries over even when there is a fixed ordering cost. We expand our analysis to robust formulations of multi-period inventory problems. We consider both independent and dependent uncertainty sets and prove the optimality of base-stock policies for the general problem formulation. We focus on budget of uncertainty approach and develop a heuristic that can also be employed for a class of parametric dependency structures. We compare our proposed heuristic against alternative solution techniques.
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Barz, Christiane. "Risk-averse capacity control in revenue management." Berlin : Springer, 2007. http://dx.doi.org/10.1007/978-3-540-73014-9.
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Liu, Xiao. "Integer Programming Approaches to Risk-Averse Optimization." The Ohio State University, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=osu1480461192784862.
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Ke, Xue, and 柯學. "When risk judgment of playing lotteries feels difficult: to be risk-averse or risk-seeking?" Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B41508385.
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Ke, Xue. "When risk judgment of playing lotteries feels difficult : to be risk-averse or risk-seeking? /." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/B41508385.
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Silva, Matheus Secco Torres da. "Central limit theorems for risk averse optimization problems." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18174.
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We study statistical properties of the sample average approximation (SAA) of risk averse stochastic problems. We first introduce some background material, recalling important results for the continuation, such as the Delta Theorem, the Functional Central Limit Theorem, and asymptotics of risk-neutral problems. We also recall the concept of risk measures, focusing on two classes of risk measures: extended polyhedral risk measures (EPRMs) and law invariant coherent risk measures. We then provide central limit theorems for SAA estimators of the optimal values of stochastic programs expressed in terms of EPRMs or law invariant coherent risk measures, under certain assumptions on these risk measures. Numerical simulations illustrate the theoretical results.
Nós estudaremos propriedades estatísticas de aproximações pela média amostral (SAA) de problemas de otimização estocástica aversos ao risco. Inicialmente, discutimos alguns resultados teóricos importantes que serão úteis para a sequência, como o Teorema Delta, o Teorema Central do Limite Funcional e alguns resultados para o caso risco-neutro. Também lembramos a definição geral de medidas de risco, concentrando-nos nas medidas de risco poliedrais estendidas e nas medidas de risco coerentes ”law invariant”. Em seguida, obtemos teoremas centrais do limite para os estimadores SAA dos valores ótimos destes problemas, sob certas condições impostas a estas medidas de risco. Por fim, apresentamos resultados numéricos para ilustrar os resultados teóricos.
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YE, Zuobin. "A risk-averse newsvendor model with pricing consideration." Digital Commons @ Lingnan University, 2004. https://commons.ln.edu.hk/otd/18.
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A decision maker who is facing a random demand for a perishable product, such as newspapers, decides how many units to order for a single selling period. This single-period inventory problem is often referred to as the \classic newsvendor problem", in which the selling price is ¯xed, the order must be made before the selling period, and the decision maker is risk-neutral. If the decision maker orders too many (overage), the inventory cost will be too high. If the decision maker orders too few (underage), the potential pro¯t will be lost. The optimal order quantity is a balance between the expected costs of overage and underage.
This thesis investigates an extension of the classic newsvendor problem. In this extension the demand depends on the selling price, the decision maker may obtain an additional order at a higher price during the selling period, and the decision maker is risk-averse (not risk-neutral). The problem is to ¯nd optimal order quantity and selling price so that the expected utility of the risk-averse decision maker is maximized.
This thesis examines the relationship between the order quantity and the sell- ing price for di®erent risk-averse decision makers in this extended newsvendor problem de¯ned above. The result shows that the relationships are consistent for some decision makers but not for others. For example, if the decision maker exhibits a constant absolute risk aversion (CARA), the optimal order quantity will decline when the selling price increases. If the decision maker has constant relative risk aversion (CRRA), the relationship is complex. This thesis ¯nds that if it is just known that the decision maker is risk-averse, the optimal order quantity placed is less than that made by a risk-neutral decision maker. Further more, the risk-averse decision maker's optimal order quantity falls when her/his risk aversion increases. However, the relationship between order quantity and selling price is still indeterminate in this case.
This extension of the classic newsvendor problem provides a more realistic dy- namic setting than before, therefore providing an excellent framework for exam- ining how the inventory problem interacting with the marketing issue (selling price) will in°uence decision makers at the ¯rm level. It also provides an inte- grated framework for investigating di®erent variations of newsvendor problems. Thus, this thesis will motivate and encourage more applications of the newsven- dor problem which is a foundation of many supply chain management problems.
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Rahimian, Hamed. "Risk-Averse and Distributionally Robust Optimization:Methodology and Applications." The Ohio State University, 2018. http://rave.ohiolink.edu/etdc/view?acc_num=osu1531822931371766.
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Svorad, Michal. "Averze spotřebitele/investora ke ztrátě." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2016. http://www.nusl.cz/ntk/nusl-261293.
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This Masters thesis analysis attitude and behavior of consumer in a role of investor in financial market to the loss or how to avoid the risk of future losses .In the theoretical part describes the theory needed to understand the other part, here in after referred to as tools and methods that are used to reduce the risk of loss.
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Navrátil, Radek. "Averze spotřebitele ke ztrátě." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2016. http://www.nusl.cz/ntk/nusl-241280.
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The content of this thesis is an analysis of the consumer ´s behaviour, his attitude to the risk/loss, how he prevents the risk of this loss, which instruments and methods might be used to reduce the loss in certain areas that are related with the consumer´s behavior. Two types of familes and three different life situations were chosen to apply the particular methods and instruments. The outcome of the thesis is a suggestion of the process that would lead to reduction of the risk of loss in given life situations in these two model familes.
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Andino, Alexandra Elizabeth. "Price Risk Management Strategies for Virginia Dairy Producers." Master's thesis, Virginia Tech, 2004. http://hdl.handle.net/10919/37159.
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The 1996 and 2002 Farm Bill changes in milk support price legislation
deregulated the market and milk prices are more volatile than ever. The use of a
mechanism to reduce farmers' exposure to volatile milk prices has therefore become
essential. This study evaluates the impact of two hedging strategies, one conservative and
the other an intermediate one (more sophisticated). Optimal parameters for the two
strategies are searched over a period of 5 years. Then, the performance, in terms of
increased profitability and reduced variation, is assessed and the best performer is chosen
and applied to an out-of-sample dataset.
With the in-sample data, both strategies generate higher mean monthly profits than
with the no-hedging option. Comparison of both strategies indicates that the intermediate
strategy outperforms the conservative one in terms of higher profitability and lower
variance. Out-of-sample results confirm the findings of the in-sample results. The
additional profits and the reduction in volatility can make the difference between keeping
a farm profitable and bankruptcy.Master of Science
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Smart, Francis Clayton. "Minimum-data analysis of ecosystem service supply with risk averse decision makers." Thesis, Montana State University, 2009. http://etd.lib.montana.edu/etd/2009/smart/SmartF0809.pdf.
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There is a need for models that produce results that are both timely and sufficiently accurate to be useful to policy makers. The minimum-data approach of Antle and Valdivia (2006) responds to this need by supplying a spatially explicit first order approximation that models ecosystem supply by producers. However, producers in developing nations often are observed to deviate from simple expected profit maximization. Risk is one possible explanation for this divergence. This study builds upon the minimum-data approach by allowing for risk averse producer preferences. The study presents a framework for translating relative risk aversion measurements into the parameters needed for the mean-standard deviation utility function. This study utilizes experimental and econometric measurements of risk aversion by other researchers to parameterize the model. Historic weather data are used with crop yield models to simulate temporal variation in crop yields. The model is used to simulate the supply of carbon sequestration in Machakos, Kenya. At low levels of risk, producers behave in a manner consistent with risk neutrality. However as risks and risk aversion levels increase, there is an increasing divergence from the behavior implied by expected profit maximization. The effects of varying the structure of risk preferences were also examined. This study finds that, consistent with the results in a number of other studies, the level of risk aversion is generally a more important factor in simulated behavior than the structure of risk preferences. This study also examines the effects of increasing the spatial variation of returns. As the spatial variation of returns increases, the predicted producer behavior converges on a fifty percent rate of adoption of the carbon sequestering system, regardless of other parameters. Overall, this study finds that - at levels of risk aversion measured in similar populations in developing nations - the inclusion of risk aversion in the model provides an explanation for why the observed behavior of producers appears to diverge from expected profit maximization.
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Aslan, Hakan. "Risk averse routing of hazardous materials : a game theoretic approach." Thesis, University of Newcastle Upon Tyne, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.275588.
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Ball, Ryan T. Bushman Robert M. "Does anticipated information impose a cost on risk-averse investors?" Chapel Hill, N.C. : University of North Carolina at Chapel Hill, 2008. http://dc.lib.unc.edu/u?/etd,2652.
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Thesis (Ph. D.)--University of North Carolina at Chapel Hill, 2008.Title from electronic title page (viewed Oct. 5, 2009). "... in partial fulfillment of the requirements for the degree of Doctor of Philosophy in the Kenan-Flagler Business School." Discipline: Business Administration; Department/School: Business School, Kenan-Flagler.
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Sun, Bo. "Risk-averse design and operation of renewable energy power grids." Diss., University of Iowa, 2015. https://ir.uiowa.edu/etd/2014.
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The need for effective energy harvesting from renewable resources becomes increasingly important, especially in the light of the inevitable depletion of the fossil fuel energy sources. Among renewable energy sources, wind energy represents one of the most attractive alternatives. In this thesis, we construct several stochastic optimization models, including the traditional risk-neutral expectation based model, and risk-averse models based on linear and nonlinear coherent measures of risk, to study the strategic planning and operation of futuristic power grids where the loads are served from renewable energy sources (wind farms) through High Voltage Direct Current lines. Exact solutions algorithms that employ Benders decomposition and polyhedral approximations of nonlinear constraints have been proposed for the formulated linear and nonlinear mixed-integer optimization problems. The conducted numerical experiments illustrate the efficiency of the developed algorithms, as well as effectiveness of risk-averse models in reducing the power grid's exposure to power shortage risks when the energy is produced from renewable sources. We further extend the risk-averse models to demonstrate how energy storage devices may impact the risk profile of power shortages in the renewable energy power grid. Additionally, we consider convex relaxations of optimal power flow problem over radial networks, that allow for solving mixed-integer optimization problems in traditional alternating current distribution networks. Exactness of a specific second-order cone programming relaxation has been discussed. We finally propose an “ extended” optimal power flow problem and prove its second-order cone programming relaxation to be exact theoretically and empirically.
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Mazánek, Lukáš. "Averze spotřebitel/investora ke ztrátě." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2014. http://www.nusl.cz/ntk/nusl-232871.
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In this diplom thesis I will deal with relation between consumer and his aversion to loss. Expression of the potential risks that can describe using behavioral theories and psychological approach. The practical part will focus on the description of risk in consumers behavior as an investor. The relationship of these consumers lose due to amount of their income and practical recommendations on how to take into account the potential risks and minimize loss.
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Hartell, Emma. "Are Women more risk averse than men? : An analysis of the Swedish Premium pension choices." Thesis, Jönköping University, JIBS, Economics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-812.
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Huruvida män och kvinnors attityd skiljer sig åt när det kommer till risk är ett ämne som det bedrivits mycket forskning kring. Dock var det först med de indivuella premiepen-sionsvalen som det för första gången kunde undersökas från ett rättvisande urval, eftersom hela befolkningen valde och gjorde så under samma period samt med samma bakgrunds information. Med implementeringen av detta nya system kom alltså en möjlighet för varje individ att själv påverka sin pension genom de indivudella valen. Informationen som varje individ erhöll innan valen innehöll risken associerad med varje fond samt fondens ursprung, dessa två variabler testas i uppsatsens empiriska analys. Följaktligen är syftet med denna uppsats att undersöka ifall kvinnor är mindre riskbenägna än män med premiepensionsvalen som analys. Resultaten visar att det inte finns några statistiska bevis som indikerar att kvinnor är mindre riskbenägna än män när det kommer till pensionsplaceringsbeslut. Dock har fondens ursprung en större inverkan på kvinnor än den har på män. Eftersom kvinnor visar en tendens att vara mer benägna att investera i Svenska fonder. Detta kan dock påverkas av faktorer som t.ex. vilken sektor man är anställd i. De erhållna resultaten gör att jag kan instämma med tidigare forskning som hävdar att det inte finns bevis som indikerar att kvinnor är mindre riskbe-nägna än män.
The subject of men and womens attitude difference towards risk has been thoroughly dis-cussed in previous research. However, with the individual allocation choices came an op-portunity to study this subject and to draw conclusions from a fair and representative sample for the first time. The reason is that the entire population choose and did so at ap-proximately the same time, and were given access to the same information prior to choos-ing. With this new system came therefore the opportunity for each individual to invest a portion of their pension. The information, distributed to each individual prior to choosing, contained the risk index and also the origin of the fund and these variables are tested in the empirical analysis in the thesis. Hence, the purpose of this thesis is to investigate whether women are more risk averse than men, using the individual allocation choice as analysis. The results indicated no difference between men and women indicating that there is no statistical evidence that women are more risk averse than men when it comes to individual financial decisions. However the origin of the fund has a larger impact on women in the sense that they have a tendency to be more home biased than men. However, the home biasedness seems to be a variable highly affected by e.g. place of employment. With the obtained result I can concur with previous researches that claim that women are not more risk averse than men.
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Prodělal, František. "Diskontní míra pro staovení tržní hodnoty podniku." Doctoral thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2008. http://www.nusl.cz/ntk/nusl-234293.
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The work is focussed on the determination of capital structure in its market values, determination of the cost of non-own capital, and determination of the cost of equity, primarily by using the CAPM method. In terms of the CAPM procedure the work deals with the main parameters required by the method, such as risk-free yield rate, risk market premium, and beta coefficient. Furthermore, attention is given to modifications resulting from the inaccuracies of the CAPM method to make the method correspond as much as possible with the actual yield and risk of shares historically achieved at the capital market, and likewise to modifications needed when applying the CAPM method to the valuation of Czech businesses. The recommended procedure of determining the market discount rate for the valuation of an enterprise is applied on an example. Data obtained from the capital market of the Czech Republic are used to calculate the risk premium of the Czech capital market and beta coefficient of selected ten shares out of the Czech capital market, giving an assessment of the possibility of using the data obtained from the Czech capital market for the valuation of businesses incorporated in the Czech Republic.
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Haglund, Fredrik. "Skillnader i risktagande hos fondsparare i en av Sveriges storbanker." Thesis, University of Gävle, Department of Business Administration and Economics, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-3581.
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Syfte: Den geografiska aspekten hos fondsparare har inte studerats tidigare och det är därför väldigt intressant att göra en studie inom detta område. Studien görs i samarbete med en av Sveriges storbanker. Huvudsyftet med studien är att undersöka om risktagandet hos svenska fondsparande, i en av Sveriges storbanker, skiljer sig åt mellan olika län och kommuner. Jag undersöker även frågor som:
· Vilket av könen tar störst risk?
· Tar yngre eller äldre störst risk?
· Tar äldre kvinnor större risk än äldre män?
· Beror portföljvärdet på hur stor risk placeraren tar?
· Påverkar andelsvärde av portföljens risktagande?
· Fondsparare som har sin hemvist i en storstad (Stockholm, Göteborg och Malmö) tar dessa större risker än män/kvinnor som bor utanför storstäderna?
· Skiljer sig risktagandet mellan åren 2001- 2007?
Metod: Den empiriska metoden multipel linjär regression, så kallad Ordinary Least Square används i studien. Jag har erhållit data från en av Sveriges storbanker och jag använder storbankens egna riskmått. Det riskmått som är av störst intresse är total risk, för att det är just detta riskmått som kunder möter.
Resultat & slutsats: Resultatet som följer presenteras från riskmåttet total risk. Kvinnor är mindre riskbenägna än män. Äldre är mindre riskbenägna än yngre och äldre kvinnor är mindre riskbenägna än män i samma ålder. Ju större portföljvärdet är desto mindre riskbenägen är investeraren. Ju större andelsvärdet är av portföljvärdet desto mindre är risken i just det innehavet. Individer som bor i en storstad har ett större risktagande i sitt fondsparande.
Det är 11 län som är mindre riskbenägna och fem är mer riskbenägna än Stockholms län. Fyra av länen blev ej statistiskt signifikanta och därmed går inte att avgöra om investerare i dessa län är mer eller mindre riskbenägna än investerare i Stockholms län.
Det är investerare i 99 kommuner som är mindre riskbenägna och 97 kommuner som är mer riskbenägna än investerare i Stockholms kommun.110 av kommunerna blev ej statistiskt signifikanta.
Förslag till fortsatt forskning: Det skulle vara av intresse att undersöka vilka andra oberoende variabler som kan påverka risktagandet hos en investerare. Intressanta variabler som ofta förekommer i vetenskapliga artiklar är civil status, hur många köp/sälj investeraren gör, investerarens akademiska grad och religion.
Uppsatsens bidrag: Med denna studie kan vi se hur riskfördelningen är i Sverige på både läns- och kommunnivå med Stockholm som bas fall, vilket tidigare inte undersökts. Det finns många intressenter till studien speciellt branscher som bank- och försäkringsbranschen.
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Dashti, Hossein, and Hossein Dashti. "Risk-Averse Optimization and its Applications in Power Grids with Renewable Energy Integration." Diss., The University of Arizona, 2017. http://hdl.handle.net/10150/625660.
Full textAbstract:
Electric power is one of the most critical parts of everyday life; from lighting, heating,
and cooling homes to powering televisions and computers. The modern power grids
face several challenges such as efficiency, sustainability, and reliability. Increase in
electrical energy demand, distributed generations, integration of uncertain renewable
energy resources, and demand side management are among the main underlying reasons
of such growing complexity. Additionally, the elements of power systems are
often vulnerable to failures because of many reasons, such as system limits, poor
maintenance, human errors, terrorist/cyber attacks, and natural phenomena. One
common factor complicating the operation of electrical power systems is the underlying
uncertainties from the demands, supplies and failures of system components.
Stochastic optimization approaches provide mathematical frameworks for decision
making under uncertainty. It enables a decision maker to incorporate some knowledge
of the uncertainty into the decision making process to find an optimal trade
off between cost and risk. In this dissertation, we focus on application of three risk-averse
approaches to power systems modeling and optimization. Particularly, we
develop models and algorithms addressing the cost-effectiveness and reliability issues
in power grids with integrations of renewable energy resources.
First, we consider a unit commitment problem for centralized hydrothermal systems
where we study improving reliability of such systems under water inflow uncertainty.
We present a two-stage robust mixed-integer model to find optimal unit
commitment and economic dispatch decisions against extreme weather conditions
such as drought years. Further, we employ time series analysis (specifically vector
autoregressive models) to construct physical based uncertainty sets for water inflow
into the reservoirs. Since extensive formulation is impractical to solve for moderate size networks we develop an efficient Benders' decomposition algorithm to solve this problem. We present the numerical results on real-life case study showing the
effectiveness of the model and the proposed solution method.
Next, we address the cost effectiveness and reliability issues considering the integration
of solar energy in distributed (decentralized) generation (DG) such as microgrids.
In particular, we consider optimal placement and sizing of DG units as
well as long term generation planning to efficiently balance electric power demand
and supply. However, the intermittent nature of renewable energy resources such as
solar irradiance imposes several difficulties in decision making process. We propose
two-stage stochastic programming model with chance constraints to control the risk
of load shedding (i.e., power shortage) in distributed generation. We take advantage
of another time series modeling approach known as autoregressive integrated moving
average (ARIMA) model to characterize the uncertain solar irradiance more accurately.
Additionally, we develop a combined sample average approximation (SAA)
and linearization techniques to solve the problem more efficiently. We examine the
proposed framework with numerical tests on a radial network in Arizona.
Lastly, we address the robustness of strategic networks including power grids and
airports in general. One of the key robustness requirements is the connectivity between
each pair of nodes through a sufficiently short path, which makes a network
cluster more robust with respect to potential disruptions such as man-made or natural
disasters. If one can reinforce the network components against future threats, the goal
is to determine optimal reinforcements that would yield a cluster with minimum risk
of disruptions. We propose a risk-averse model where clusters represents a R-robust
2-club, which by definition is a subgraph with at least R node/edge disjoint paths
connecting each pair of nodes, where each path consists of at most 2 edges. And,
develop a combinatorial branch-and-bound algorithm to compare with an equivalent
mathematical programming approach on random and real-world networks.
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van, Rooij Marieke M. J. W. "What Changes When We Change Our Decision Strategy? A Dynamical Account of Transitions between Risk-averse and Risk-seeking Choice Behavior." University of Cincinnati / OhioLINK, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1382951052.
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