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Also, for the sake of comparison we give the probability density functions of the terminal wealth of portfolios managed by the pure bond strategy, whose fraction of wealth invested

Reference mortgage portfolio Selected, RMBS structured credit reference portfolio risk, market valuation, liquidity risk, operational misselling, SIB issues risk, tranching

Considering the optimal tactical decisions regarding service level, transfer price, and marketing expenditure, manufacturer of the new SC has to decide how to configure his

We establish a strong law of large numbers (SLLN) and a central limit theorem (CLT) for the sequence of profits of the ensemble of N players in both settings (random mixture

For the risk process in Theorem 3, we conducted a simulation study to demonstrate the relationships between the non-ruin probability, the initial capital and the revenue coefficient

In the previous section we have established a sample-path large deviation principle on a finite time grid; this LDP provides us with logarithmic asymptotics of the probability that

Since the optimizing problem has a two-level hierarchical structure, this risk management algorithm is composed of two types of swarms that search in different levels,

The proposed model in this study builds upon recent developments of integrated supply chain design models that simultaneously consider location, inventory, and shipment decisions in