A Poisson process with stochastic intensity is utilized to model changes of a benchmark interest rate set by a Central Bank. We propose explicit formulas for estimators of parameters and the expectation of the intensity, based on observations of the process. Through comparing the intensity and...

General multiperiod optimal consumption and investment problems with proportional transaction costs are investigated in this paper, a <Emphasis Type="Bold">GARCH-type process is used to model the risky asset’s return series so that its time-varying moments and conditional heteroskedasticity can be properly...</emphasis>

In this paper, an optical analysis on the end loss effect of parabolic trough solar collector (PTC) with horizontal north–south axis (PTC-HNSA) is performed, and a method to compensate its end loss effect is presented. The calculation formulae for the optical end loss ratio and the increased...

The mean-risk stochastic mixed-integer programs can better model complex decision problems under uncertainty than usual stochastic (integer) programming models. In order to derive theoretical results in a numerically tractable way, the contamination technique is adopted in this paper for the...

For our introduced mixed-integer quadratic stochastic program with fixed recourse matrices, random recourse costs, technology matrix and right-hand sides, we study quantitative stability properties of its optimal value function and optimal solution set when the underlying probability...

Purpose–To help investors find an investment policy with strong competitiveness, the purpose of this paper is to construct a multi-period investment decision model with practicality and superior performance. Design/methodology/approach - The paper uses a suitable multi-period risk measure to...

Aimed at better modeling insurance claims in an economic environment driven by business cycles, a new Markov-modulated Poisson process model is proposed, and an algorithm is derived to estimate the hidden Markov process by using the observed information. Our method differs from existing ones in...

By using a different derivation scheme, a new class of two-sided coherent risk measures is constructed in this paper. Different from existing coherent risk measures, both positive and negative deviations from the expected return are considered in the new measure simultaneously but differently....

Aimed at better modeling stock returns and finding robustly optimal investment decisions, a new portfolio selection model is proposed in this paper. The model differs from existing ones in following ways: multiple market frictions are taken into account simultaneously; the adopted multivariate...