The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some...

This paper addresses challenges of estimating operational risk regulatory capital when a loss sample is truncated from below at a data collection threshold. Recent operational risk literature reports that the attempts to estimate loss distributions by the maximum likelihood method are not always...

The paper considers a regression approach to pricing European options in an incomplete market. The algorithm replicates an option by a portfolio consisting of the underlying security and a risk-free bond. We apply linear regression framework and quadratic programming with linear constraints...

A significant task faced by mortgage bankers attempting to profit from the secondary mortgage market is the best execution problem. This paper built a formal model to perform the best execution analysis. The model offers secondary marketing functionality including the loan-level best execution,...