Sustainability as Target Value – a Parametric Approach

A Hybrid Parametric, Non-parametric Approach to Bayesian Target Tracking

This article describes a versatile approach to non-linear, non-Gaussian noise target tracking which makes use of both parametric and non-parametric techniques within a Bayesian framework. It produces a Gaussian mixture model (GMM) of a track, but resorts to a sampling technique within the tracking process to handle non-linearity. GMMs are recovered from samples using the expectation-maximisatio...

A Value Efficiency-Based Target Setting Approach in Data Envelopment Analysis

Basic models of Data Envelopment Analysis are intrinsically preference-free, in the sense that they consider all inputs and outputs and also all decision making units of the same importance. Although this property is beneficial in many ways, it has some drawbacks simultaneously, as the decision makers’ preferences are not taken into account in the process of evaluating units.  To overcome this ...

IV Fiscal Sustainability : A Value - at - Risk Approach

ecurring debt problems and high public debt have brought the issue of fiscal sustainability to the foreground in several Central American countries. Although public debt-to-GDP ratios have started to come down in recent years, they still exceed 50 percent in most of the region's countries, making the debt a source of vulnerability that deserves close attention. Over the past three decades, the ...

Hedging and Value at Risk: A Semi-Parametric Approach

The non-normality of financial asset returns has important implications for hedging. In particular, in contrast with the unambiguous effect that minimum-variance hedging has on the standard deviation, it can actually increase the negative skewness and kurtosis of hedge portfolio returns. Thus the reduction in Value at Risk (VaR) and Conditional Value at Risk (CVaR) that minimum-variance hedging...

Sustainability and Value Creation