We are interested in model risk control problems. We study a strategy for the trader which, in a sense, guarantees good performances whatever is the unknown model for the assets of his/her portfolio. The trader chooses trading strategies to decrease the risk and therefore acts as a minimizer; the market systematically acts against the interest of the trader, so that we consider it acts as a max...

Th improve syste technologies provide a bas computer and questioning t security guide and give exam the assumptio Index terms assumptions As the discip moved from being adapte practices dev sets of best p enabling peo Examples of include the n Evaluation C the NIST Sy Microsoft W various guid imply that b configuratio security of th systems dev and maintain refer to all o checklists as Whenever...

Based on a robustness concept adapted from mathematical statistics, we investigate robust optimal investment strategies for worst-case crash scenarios when the maximum crash height is not known a priori. We specify an efficiency criterion in terms of the certainty equivalents of optimal terminal wealth and explicitly solve the investor’s portfolio problem for crra risk preferences. We also stud...

We study the design of efficient data structures. In particular we focus on the design of data structures where each operation has a worst case efficient implementations. The concrete problems we consider are partial persistence, implementation of priority queues, and implementation of dictionaries. The first problem we consider is how to make bounded in-degree and out-degree data structures pa...

This paper discusses an alternative to conditioning that may be used when the prob-ability distribution is not fully specified. It does not require any assumptions (suchas CAR: coarsening at random) on the unknown distribution. The well-known MontyHall problem is the simplest scenario where neither naive conditioning nor the CARassumption suffice to determine an updated probabil...

if nuclear weapons are used again, health services will be unable to respond in any significant way One could be forgiven for not noticing, but there has been groundbreaking activity going on that is headed in the direction of a ban on the world’s most destructive weapons. This year, 2015, could see the start of negotiations for a treaty to eliminate nuclear weapons, which were first used 70 ye...

T. K. Wu and L. L. Tsai, “Numerical analysis of electromagnetic fields in biological tissues,” Proc. IEEE (Lett.), vol. 62, pp. 1167–1168, Aug. 1974. R. F. Barrington. Field Computation by Moment Methods. New York: Macmillan, 1968, ch. 3. B. H. McDonald and A. Wexler, “Finite-element solution of unbounded field problems,” IEEE Trans. Microwave Theory Tech. (1972 Symp. Issue), vol. MTT-20, pp. 8...

We propose a new algorithm to find worst cases for correct rounding of an analytic function. We first reduce this problem to the real small value problem — i.e. for polynomials with real coefficients. Then we show that this second problem can be solved efficiently, by extending Coppersmith’s work on the integer small value problem — for polynomials with integer coefficients — using lattice redu...