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From Risk Measures to Research Measures
Bibliometric Indices Citations Risk Measures Scienti c Impact Measures Calibration Duality
2012/6/4
In order to evaluate the quality of the scientific research, we introduce a new family of scientific performance measures, called Scientific Research Measures (SRM). Our proposal originates from the m...
Comparative and qualitative robustness for law-invariant risk measures
Law-invariant risk measure convex risk measure coherent risk measure Orlicz space qualitative robustness comparative robustness
2012/4/28
When estimating the risk of a P&L from historical data or Monte Carlo simulation, the robustness of the estimate is important. We argue here that Hampel's classical notion of qualitative robustness is...
Minimal $f$-divergence martingale measures and optimal portfolios for exponential Levy models with a change-point
f-divergence exponential Levy models change-point optimal portfolio
2010/4/28
We consider the exponential Levy models and we study the conditions under which f-minimal equivalent martingale measure preserves Levy property. Then we give a general formula for optimal strategy in ...
Software quality measures validation in the Czech Republic
ISO/IEC quality model quality metrics external measures internal measures quality characteristics validation user research
2014/3/20
The paper concludes the research results performed on the Faculty of Economics and Management, Czech University of Life Sciences in Prague, concerning the utilization and validation of external and in...