Robust Prediction with Risk Measures

Duisenbay, Yerlan

dc.contributor.author	Duisenbay, Yerlan
dc.date.accessioned	2020-05-13T06:07:50Z
dc.date.available	2020-05-13T06:07:50Z
dc.date.issued	2020-04-29
dc.identifier.citation	Duisenbay, Y. (2020). Robust Prediction with Risk Measures (Master’s thesis, Nazarbayev University, Nur-Sultan, Kazakhstan). Retrieved from https://nur.nu.edu.kz/handle/123456789/4684	en_US
dc.identifier.uri	http://nur.nu.edu.kz/handle/123456789/4684
dc.description.abstract	This thesis deals with coherent risk measures and its simulation with respect to different probability distributions. This study gives a numerical scheme to approximate any coherent risk measure via a sum of specific quantiles. We give the theoretical background on coherent risk measures in the first part and in the second part of this thesis we illustrate our findings via several simulations.	en_US
dc.language.iso	en	en_US
dc.publisher	Nazarbayev University School of Sciences and Humanities	en_US
dc.rights	Attribution-NonCommercial-ShareAlike 3.0 United States	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-sa/3.0/us/	*
dc.subject	Research Subject Categories::MATHEMATICS	en_US
dc.title	Robust Prediction with Risk Measures	en_US
dc.type	Master's thesis	en_US
workflow.import.source	science