The Bates (2006) Approximate Maximum Likelihood (AML) method is considered from a practical point of view. Application of the AML method is undertaken using FFT with splines for integration. Results are validated by both simulation and comparison to MCMC literature. The SVJ model is estimated...

In this paper, we propose formulations and algorithms for robust portfolio optimization under both aleatory uncertainty (i.e., natural variability) and epistemic uncertainty (i.e., imprecise probabilistic information) arising from interval data. Epistemic uncertainty is represented using two...