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We show how to use linear belief functions to represent market information and financial knowledge, including complete ignorance, statistical observations, subjective speculations...
Credit risk analysis for portfolios containing CDO tranches is a challenging task for risk managers. We propose here a basis function approach for CDO tranche valuation and portfo...
We formulate a risk-averse two-stage stochastic linear programming problem in which unresolved uncertainty remains after the second stage. The objective function is formulated as ...
Recently developed dual techniques allow us to evaluate a given sub-optimal dynamic portfolio policy by using the policy to construct an upper bound on the optimal value function....
Interval number is a kind of special fuzzy number and the interval approach is a good method to deal with some uncertainty. The semi-absolute deviation risk function is extended to...