A Boolean programming problem with a finite number of alternatives where initial coefficients (costs) of linear payoff functions are subject to perturbations is considered. We define robust solution as a feasible solution which for a given set of realizations of uncertain parameters guarantees...

Financial return series of sufficiently high frequency display stylized facts such as volatility clustering, high kurtosis, low starting and slow-decaying autocorrelation function of squared returns and the so-called Taylor effect. In order to evaluate the capacity of volatility models to...

The comedianCOM(X, Y) of random variablesX,Yis a median based robust alternative to the covariance ofXofY. For the bivariate normal case it is known thatCOM(X, Y), standardized by the median absolute deviations ofXandY, is a symmetric, strictly increasing and continuous function of the...