This research is designed to help quantify one of the "slippages" which are often recognized in quant strategies. The idea is that whenever the actual executed prices are away (both time and size) from the model prices, the realized returns will suffer. The slippage for a particular statistical...

Management decisions regarding maintenance protocols critically hinge on the underlying probability distribution of the time between failures in most repairable systems. Replacement of the system with a new one resets the system age to zero, whereas a repair does not alter the system age but may...

Management decisions regarding maintenance protocols critically hinge on the underlying probability distribution of the time between failures in most repairable systems. Replacement of the system with a new one resets the system age to zero, whereas a repair does not alter the system age but may...

This paper proposes a novel approach for modeling prepayment rates of individual pools of mortgages. The model incorporates the empirical evidence that prepayment is past dependent via Bayesian methodology. There are many factors that influence the prepayment behavior and for many of them there...

Nuclear power plants across the United States are reaching the end of their current operating licenses, forcing decision makers to think about the way forward. As they consider the best alternatives for dealing with aging nuclear plants, it is becoming increasingly important to have an accurate...

Managers, typically, are unaware of the significant impact their decisions could have on the random mechanism driving a data generating process. Here, a new parametric Bayesian technique is introduced that would allow managers to obtain an estimate of the impact of their decisions on the...

Hedge funds typically have non-normal return distributions marked by significant positive or negative skewness and high kurtosis. Mean-variance optimization models ignore these higher moments of the return distribution. If a mean-variance optimization model suggests significant allocation to...