This paper presents an efficient method to compute portfolio risk and return. Two methodologies are exposed in evaluating portfolio performance by aggregation of securities returns: the first one is based on local approximations of the compounding capitalization formula; in the alternative...

We introduce and compare several coalition values for multichoice games. Albizuri defined coalition structures and an extension of the Owen coalition value for multichoice games using the average marginal contribution of a player over a set of orderings of the player’s representatives....

Conditional independence graphs are now widely applied in science and industry to display interactions between large numbers of variables. However, the computational load of structure identification grows with the number of nodes in the network and the sample size. A tailored version of the PC...

The focus of this paper is on the asymptotics of large-time numbers of customers in time-periodic Markovian many-server queues with customer abandonment in heavy traffic. Limit theorems are obtained for the periodic number-of-customers processes under the fluid and diffusion scalings. Other...

We propose a new approximate Bayesian computation (ABC) algorithm that aims at minimizing the number of model runs for reaching a given quality of the posterior approximation. This algorithm automatically determines its sequence of tolerance levels and makes use of an easily interpretable...

This article shows that, for any transferable utility game in coalitional form with a nonempty coalition structure core, the number of steps required to switch from a payoff configuration out of the coalition structure core to a payoff configuration in the coalition structure core is less than...

The bootstrap method is based on resampling of the original randomsample drawn from a population with an unknown distribution. In the article it was shown that because of the progress in computer technology resampling is actually unnecessary if the sample size is not too large. It is possible to...

A unified empirical likelihood approach for three Cox-type marginal models dealing with multiple event times, recurrent event times and clustered event times is proposed. The resulting log-empirical likelihood ratio test statistics are shown to possess chi-squared limiting distributions. When...

Bayesian networks are graphical models that represent the joint distribution of a set of variables using directed acyclic graphs. The graph can be manually built by domain experts according to their knowledge. However, when the dependence structure is unknown (or partially known) the network has...

In this paper we provide a characterization of the set of fall back equilibria for $$2 \times n$$ bimatrix games. Furthermore, for this type of games we discuss the relation between the set of fall back equilibria and the sets of perfect, proper and strictly perfect equilibria. In order to do...