Page 1 of 1
YR PR (32) Calculating the AVQR for discrete probabilities. Let paymenty y2 33 probability P1 P2 P3 be the distribution
Posted: Tue Nov 23, 2021 9:30 am
by answerhappygod
- Yr Pr 32 Calculating The Avqr For Discrete Probabilities Let Paymenty Y2 33 Probability P1 P2 P3 Be The Distribution 1 (15.43 KiB) Viewed 58 times
YR PR (32) Calculating the AVQR for discrete probabilities. Let paymenty y2 33 probability P1 P2 P3 be the distribution of a profit random variable Y. Then AVOR.(Y) is the optimal value of the problem maximize {r - E(Y – x)"): 1 € R}. Here (al- = - min(a,0). Formulate the calculation of AV@R (Y) as a standard linear program