This research is collaborative investigation with the general-purpose motor manufacturer. To review construction method in production process, we applied the parameter design method of quality engineering and tried to approach the optimization of construction method. Conventionally,...

Extreme-case (worst-case and best-case) risk measures refer to the extreme (maximal and minimal) values for risk measures when only partial information of the underlying risk is available. We obtain closed-form solutions for extreme-case distortion risk measures with the first two moments of the...

A single unit of a good is to be sold by auction to one of many potential buyers. There are two equally likely states of the world. Potential buyers receive noisy signals of the state of the world. The accuracies of buyers signals may differ. A buyers valuation is the sum of a common value...

Using data from the S&P 500 stocks from 1990 to 2015, we address the uncertainty of distribution of assets' returns in Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining its robust counterpart. We implement a dynamic...

We show that even when a covariance matrix is poorly estimated, it is still possible to obtain a robust maximum Sharpe ratio portfolio by exploiting the uneven distribution of estimation errors across principal components. This is accomplished by approximating an investor's view on future asset...