Reward-risk ratio optimization is an important mathematical approach in finance. We revisit the model by considering a situation where an investor does not have complete information on the distribution of the underlying uncertainty and consequently a robust action is taken to mitigate the risk arising from ambiguity of the true distribution. We consider a distributionally robust reward-risk rat...

A renewal model in risk theory is considered, where H(u, y) is the tail of the distribution of the deficit at ruin with initial surplus u and F(y) is the tail of the ladder height distribution. Conditions are derived under which the ratio H(u, y)/F(u + y) is nondecreasing in u for any y ≥ 0. In particular, it is proven that if the ladder height distribution is stable and DFR or phase type, then...

Phenotypic sex in sea turtles is determined by nest incubation temperatures, with warmer temperatures producing females and cooler temperatures producing males. The common finding of highly skewed female-biased hatchling sex ratios in sea turtle populations could have serious repercussions for the long-term survival of these species and prompted us to examine the thermal profile of a relatively...

to achieve the optimal model for capital asset pricing has always been a central issue in studies of the financial field. in this study we consider fama and french three-factor model augmented by the pastor and stambaugh (2003) liquidity risk factor. unlike most previous studies in this model, stock level beta is allowed to vary with firm-level size and book-to-market value. to verify the above...

Apolipoproteins are proteins associated with lipids in lipoprotein particles. They play important roles in lipoprotein metabolism, such as transport of these hydrophobic molecules in plasma aqueous medium, binding to specific receptors in cell surface to correctly direct lipids to target organs and body tissues, and activation or inhibition of enzymes involved in lipid metabolism. Apolipoprotei...

In the broad literature of corporate risk management classic models of optimal hedging assume a one-period hedging decision, and therefore no financing need arises to maintain the hedge position. The multi-period models are usually based on the assumption of no liquidity constraints, and accordingly the eventual financing need can always be met from the market. As a consequence of the recent cr...

We investigate a class of distributionally robust optimization problems that have direct applications in finance. They are semi-infinite programming problems with ambiguous expectation constraints in which fractional functions represent reward-risk ratios. We develop a reformulation and algorithmic data-driven framework based on the Wasserstein metric to model ambiguity and to derive probabilis...

Androgen deprivation treatment (ADT) significantly lowers testosterone. That, in turn, can decrease sexual drive, facilitating better self-control and lower recidivism rates among sexually disordered offenders. Potential side effects can include: decreases in bone density; development of a metabolic syndrome involving weight gain, accompanied by changes in glucose and lipid metabolism; and rare...

Regardless of the exact method employed, the application of statistical process controL SPRTs, or related longitudinal analysis methods can significantly improve the ability to monitor clinical processes and outcomes. Incorporation and adaptation of risk-adjustment and rare events into these methods represent important contributions to their use in health care. Fostering greater and more widesp...

Under the new Basel III banking regulations, a non-risk based leverage ratio will be introduced alongside the risk-based capital requirement. This move away from a solely risk-based capital framework has raised some concern of increased bank risk-taking; potentially offsetting any benefits from requiring highly leveraged banks to hold more capital. We address exactly this tradeoff between addit...