Value-at-risk (VaR) and conditional value-at-risk (CVaR) are popular risk measures from academic, industrial and regulatory perspectives. The problem of minimizing CVaR is theoretically known to be of a Neyman–Pearson type binary solution. We add a constraint on expected return to investigate the mean-CVaR portfolio selection problem in a dynamic setting: the investor is faced with a Markowitz ...

We derive optimal reinsurance under premium principles based on the mean and variance of the reinsurer’s share of the total claim amount. Both global reinsurance and local reinsurance are studied. Examples considered include standard deviation principle and variance principle. © 2001 Elsevier Science B.V. All rights reserved. MSC: Primary 90A46; Secondary 62P05

Principal Component Analysis (PCA) is the most widely used unsupervised dimensionality reduction approach. In recent research, several robust PCA algorithms were presented to enhance the robustness of PCA model. However, the existing robust PCA methods incorrectly center the data using the `2-norm distance to calculate the mean, which actually is not the optimal mean due to the `1-norm used in ...

Motivated by empirical observations, we assume that the inventory level of a company follows a mean reverting process. The objective of the management is to keep this inventory level as close as possible to a given target; there is a running cost associated with the difference between the actual inventory level and the target. If inventory deviates too much from the target, management may perfo...

the micro wire electrical discharge machining (micro wire-edm) process is a modern machining process with various applications in manufacturing micro-parts. the recast layer remaining on the machined surfaces is an inevitable complication of this process. this layer can subsequently affect the machined parts performance. to optimize the recast layer in the micro wire-edm of the molybdenum micro...