We demonstrate the impact of conditional correlation on an asymptotic single risk factor model within the framework of dynamic credit provisioning and stress testing. Specifically, we show the effect ...

We propose a novel optimization model for risk-averse investors to obtain robust solutions for portfolio allocation problems. Unlike related models in the literature, no historical data or statistical ...

This is a preview. Log in through your library . Abstract The modeling of traffic control systems for solving such problems as surface street signalization, dynamic traffic assignment, etc., typically ...

This is a preview. Log in through your library . Abstract The conventional model selection criterion, the Akaike information criterion, AIC, has been applied to choose candidate models in ...