Goal: ISO 31000 Risk Management (RM) recently re-defined risk as the effect of uncertainty on an organization's ability to meet the objectives. Earlier, it defined risk as a combination of the probability and scope of the (predicted) consequences. The revised ISO Risk advances beyond a static...

Uncertainty and certainty of organizational-economic systems are their integral properties. Existence and development of any object in stochastic conditions is not obviously possible without presence of uncertain conditions and the certain factors determining the subsequent conditions of...

It is well-known that outliers exist in the type of multivariate data used by financial practitioners for portfolio construction and risk management. Typically, outliers are addressed prior to model fitting by applying some combination of trimming and/or Winsorization to each individual...

Traditional mean variance optimization assumes that future returns and covariances of all the assets in the universe are known exactly. In practice, these input parameters are subject to estimation errors that may render the output of the optimization algorithm essentially useless. Here we...