In this paper we study distributionally robust constraints on risk measures (such<br/>as standard deviation less the mean, Conditional Value-at-Risk, Entropic Value-at-Risk) of decision-dependent random variables. The uncertainty sets for the discrete probability distributions are defined using...

We formulate a general representation of points z 2 <n

We consider the problem of estimating the first k coeffcients in a regression equation with k + 1 variables.For this problem with known variance of innovations, the neutral Laplace weighted-average least-squares estimator was introduced in Magnus (2002).We investigate properties of this...

We establish Edgeworth expansions for the distribution function of the centered and normalized Hill estimator for the positive extreme value index.

Abstract: This article surveys optimization of simulated systems. The simulation may be either deterministic or random. The survey reflects the author’s extensive experience with simulation-optimization through Kriging (or Gaussian process) metamodels. The analysis of these metamodels may use...

Although there is a broad literature on structural credit risk models, there has been little empirical testing of these models.In this paper we examine the term structure of credit spreads on euro corporate bonds and the empirical validation of structural credit risk models.The latter provide a...