A new approach to optimizing or hedging a portfolio of nancial instruments to reduce risk is presented and tested on applications. It focuses on minimizing Conditional Value-at-Risk (CVaR) rather than minimizing Value-at-Risk (VaR), but portfolios with low CVaR necessarily have low VaR as well. CVaR, also called Mean Excess Loss, Mean Shortfall, or Tail VaR, is anyway considered to be a more co...

Total variation (TV) minimizing image restoration is a fairly new approach to image restoration, and has been shown both analytically and empirically to be quite eeective. Our primary concern here is to develop a spatially adaptive TV minimizing restoration scheme. One way of accomplishing this is to locally weight the measure or computation of the total variation of the image. The weighting fa...

Traditional metric learning methods usually make decisions based on a fixed threshold, which may result in a suboptimal metric when the inter-class and inner-class variations are complex. To address this issue, in this paper we propose an effective metric learning method by exploiting privileged information to relax the fixed threshold under the empirical risk minimization framework. Privileged...

In the new competitive environment, selecting and planning of the supply chain is very crucial and involves evaluation of many factors. Different approaches have been applied to assess the supplier/s. Most of these studies are based upon the supplier/s' capabilities. It may be neither rational nor economical to deal with each item via a generic material control system. Furthermore, supplier...

Two adaptive bandwidth selection methods for minimizing the mean squared error of nonparametric estimators in locally stationary processes are proposed. We investigate a cross-validation approach and method based on contrast minimization derive asymptotic properties both methods. The results applicable different statistics under general setting local stationarity including nonlinear processes. ...

Implementing information technology projects requires a calculated process to prevent failure. At the same time application of information technology in organizations faces various potential risks. Exploring information technology environment in organizations reveals the potential risks and provides a structure for comprehensive risk management. There are various methods available for risk mana...

Implementing information technology projects requires a calculated process to prevent failure. At the same time application of information technology in organizations faces various potential risks. Exploring information technology environment in organizations reveals the potential risks and provides a structure for comprehensive risk management. There are various methods available for risk mana...

This paper proposes improvements to advanced measurement approach (AMA) to estimating operational risks, and applies the improved methods to US business losses categorised into five business lines and three event types operational losses. The AMA involves, among others, modelling a loss severity distribution and estimating the Expected Loss and the 99.9% operational value-at-risk (OpVaR). These...