In this paper we develop a dynamic stochastic programming model for bond portfolio management. A new risk measurement-shortfall cost is put forward. It allows more tangible express...
Many perceptual processes and neural computations, such as speech recognition, motor control and learning, depend on the ability to measure and mark the passage of time. However, ...
We propose a sample average approximation (SAA) method for stochastic programming problems involving an expected value constraint. Such problems arise, for example, in portfolio s...
Abstract. In this paper we determine some limit distributions of pattern statistics in rational stochastic models, defined by means of nondeterministic weighted finite automata. ...
Reliable risk measurement is a key problem for financial institutions and regulatory authorities. The current industry standard Value-at-Risk has several deficiencies. Improved ri...