The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk measurement and volatility forecast together....

Financial market and its various components are currently in turmoil. Many largecorporations are devising new ways to overcome the current market instability.Consequently, any study fostering the understanding of financial markets and thedependencies of various market components would greatly...

In this paper we propose a model for the conditional multivariate density of integer count variables defined on the set Zn. Applying the concept of copula functions, we allow for a general form of dependence between the marginal processes, which is able to pick up the complex nonlinear dynamics...

In survival analysis, proportional hazards model is the most commonly used and the Cox model is the most popular. These models are developed to facilitate statistical analysis frequently encountered in medical research or reliability studies. In analyzing real data sets, checking the validity of...

In survival data analysis, the proportional hazards (PH), accelerated failure time(AFT), and proportional odds (PO) models are commonly used semiparametric models forthe comparison of survivability in subjects. These models assume that the survival curvesdo not cross. However, in some clinical...

We propose a new procedure for estimating the survival function of a time-to-event random variable under arbitrary patterns of censoring. Under mild smoothness assumptions, this procedure allows a unified approach to handling different kinds of censoring, while in many cases increasing...

After treatment is found to be effective in a clinical study, attention often focuses on the effect of treatment duration on outcome. Such an analysis facilitates recommendations on the most beneficial treatment duration. In many studies, treatment duration is left to the discretion of the...

Modern Engineering Asset Management (EAM) requires the accurate assessment of current and the prediction of future asset health condition. Suitable mathematical models that are capable of predicting Time-to-Failure (TTF) and the probability of failure in future time are essential. In traditional...

This study examines the determinants of multiple states of financial distress by applying a competing-risks model. It investigates the effect of financial ratios, market-based variables and company-specific variables, including company age, size and squared size on three different states of...

An important goal of research involving gene expression data for outcome prediction is to establish the ability of genomic data to define clinically relevant risk factors. Recent studies have demonstrated that microarray data can successfully cluster patients into low and high risk categories....