Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25469
Authors: 
Parpas, Panos
Rustem, Berc
Wieland, Volker
Zakovic, Stan
Year of Publication: 
2006
Series/Report no.: 
CFS Working Paper 2006/03
Abstract: 
In this paper, we consider expected value, variance and worst-case optimization of nonlinear models. We present algorithms for computing optimal expected values, and variance, based on iterative Taylor expansions. We establish convergence and consider the relative merits of policies beaded on expected value optimization and worst-case robustness. The latter is a minimax strategy and ensures optimal cover in view of the worst-case scenario(s) while the former is optimal expected performance in a stochastic setting. Both approaches are used with a macroeconomic policy model to illustrate relative performances, robustness and trade-offs between the strategies.
JEL: 
C61
E43
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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