Textbooks on Design of Experiments invariably start by explaining why one-factor-at-a-time (OAT) is an inferior method. Here we will show that in a model with all interactions a variant of OAT is extremely efficient, provided that we only have non-negative parameters and that there are only a...

Policy makers constantly face optimal control problems: what controls allow to achieve certain targets in, e.g., GDP growth or inflation? Conventionally this is done by applying certain linear- quadratic optimization algorithms to dynamic econometric models. Several algorithms extend this...

We develop in this paper a novel portfolio selection framework with a feature of dual robustness in both return distribution modeling and portfolio optimization. While predicting the return distributions of the future market always represents the most compelling challenge in investment, any...