Abstract
Our goal is to create a simple, yet robust, statistical model which can be used to quantify the risk present in a portfolio of mining assets. In pursuit of this goal we aim at explaining a systematic approach which takes as input a model which is constructed based on fundamental economic principles and simple statistical technniques (eg a mixed-effect linear model with explanatory variables chosen from economic reasoning). Additional enrichment is then imposed, based on input coming from a more detailed model (built, for instance, from bottom up). And finally, the robustification step is obtained by computing worst-case performance analysis among all models that are within some distance of our simple model. This step quantifies the error induced by using a simple-yet-tractable model, which might be incorrect.
Authors
J Blanchet, C Dolan, G Iyengar, U Lall
Publication date
2015
