A new portfolio choice model in continuous time is formulated for both complete and incomplete markets, where the quantile function of the terminal cash flow, instead of the cash flow itself, is taken as the decision variable. This formulation covers a wide body of existing and new models with law-invariant preference measures, including expected utility maximisation, mean-variance, goal reachi...

In portfolio management, Robust Conditional Value at Risk (Robust CVaR) has been proposed to deal with structured uncertainty in the estimation of the assets probability distribution. Meanwhile, regularization in portfolio optimization has been investigated as a way to construct portfolios that show satisfactory out-ofsample performance under estimation error. In this paper, we prove that optim...

The purpose of this study was to examine the expected returns of Carhart model compared to the capital asset pricing model and the implicit capital cost model based on cash and capital returns of growth and value stocks. The statistical population consisted of the companies listed in Tehran Stock Exchange and the time domain is between 2007 and 2016. By choosing Cochran sampling, 126 companies ...

let $g$ be a molecular graph with vertex set $v(g)$, $d_g(u, v)$ the topological distance between vertices $u$ and $v$ in $g$. the hosoya polynomial $h(g, x)$ of $g$ is a polynomial $sumlimits_{{u, v}subseteq v(g)}x^{d_g(u, v)}$ in variable $x$. in this paper, we obtain an explicit analytical expression for the expected value of the hosoya polynomial of a random benzenoid chain with $n$ hexagon...

Background: Histone deacetylation of tumor suppressor genes such as estrogen receptor alpha (ERα) can induce cancer, which is reversible by epi-drugs such as valproic acid (VPA). The previous result indicated that tamoxifen (TAM) induced apoptosis in hepatocellular carcinoma (HCC). This study was designed to assess the apoptotic and antiproliferative effects of VPA and TAM and also the ef...

the main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. we examine the dependence between pd and rr by theoretical approach. for the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. these methods allow to determinate...