English Abstract: Turkey with the house of quality. For this purpose, an integrated model is constructed to evaluate the criteria and analyze the fuzzy pairwise and decision matrices. The method is proposed with the hesitant fuzzy DEMATEL for weighting criteria and hesitant fuzzy TOPSIS for...

For a market with m assets and T discrete trading sessions, Cover and Ordentlich (1998) found that the “Cost of Achieving the Best Rebalancing Rule in Hindsight” is p(T, m) = _{n₁ ···^Σ n_m=T} (n₁,^T...,n_m)(n₁/T)(n₁ · · · (n_m/T)^n_m. Their super-replicating strategy is impossible to compute...

We study T. Cover's rebalancing option (Ordentlich and Cover 1998) under discrete hindsight optimization in continuous time. The payoff in question is equal to the final wealth that would have accrued to a $1 deposit into the best of some finite set of (perhaps levered) rebalancing rules...

German Abstract: Die Entscheidungslehre ist die anwendungsorientierte, präskriptive Richtung der Entscheidungstheorie, die für wichtige Entscheidungsprobleme wertvolle Hilfe liefert. Empfohlen wird ein Entscheidungsprozess in drei Schritten: (1) Strukturierung der Entscheidungssituation, (2)...

This paper prices the financial derivative whose payoff is the wealth that would have accrued to a $1 deposit into the best continuously-rebalanced portfolio in hindsight. For the market with a risk-free bond and a single stock in geometric Brownian motion, Cover and Ordentlich (1998) priced...

Models can be wrong and recognising their limitations is important in financial and economic decision making under uncertainty. Robust strategies, which are least sensitive to perturbations of the underlying model, take uncertainty into account. Finding the explicit set of alternative models...

We derive sufficient conditions for non-emptyness of the efficient set for Stochastic Dominance Relations, commonly applied in Economics and Finance, over sets of distributions on the real line. We do so via the use of the concept of stochastic spanning and its characterization via a saddle type...

Various concepts appeared in the existing literature to evaluate the risk exposure of a financial or insurance firm/subsidiary/line of business due to the occurrence of some extreme scenarios. Many of those concepts, such as Marginal Expected Shortfall or Tail Conditional Expectation, are simply...

We can overcome uncertainty with uncertainty. Using randomness in our choices and in what we control, and hence in the decision making process, could potentially offset the uncertainty inherent in the environment and yield better outcomes. The example we develop in greater detail is the...

Multivariate extremes behave very differently under asymptotic dependence as compared to asymptotic independence. In the bivariate setting, we are able to characterise the extreme behaviour of the asymptotic dependent case by using the concept of the copula. As a result, we are able to identify...