It is well known that a random vector with given marginals is comonotonic if and only if it has the largest convex sum, and that a random vector with given marginals (under an additional condition) is mutually exclusive if and only if it has the minimal convex sum. This paper provides an...

In this paper we introduce the notion of themes as an additional investment dimension beyond asset classes, regions, sectors and styles, and we propose a framework to allocate to thematic investments at a strategic asset allocation level. The goal of thematic investments is to provide the means...

The digital transformation is creating a need for mass customization of tactical asset allocation. Asset managers publish tactical asset allocation qualitative views regularly. However, the construction of robust portfolios from such views at large scale is often over-simplified. We propose a...

This paper explores the possibility of sharing firm-level information within an audit firm in a privacy-preserving manner and demonstrates the benefits of doing this, under the assumption that the same audit firm serves multiple clients competing in the same industry. We observe significant...

Robust optimization considers uncertainty in inputs to address the shortcomings of mean-variance optimization. We investigate the mechanisms by which robust optimization achieves its goal and give practical guidance regarding its parametrization. We show that quadratic uncertainty sets are...

One important part of designing and manufacturing of the fuel cells is their model identification. The present study proposes an optimal method for optimal parameter estimation of the undetermined parameters in Proton Exchange Membrane Fuel Cells (PEMFCs). The method uses a novel modified...

Purpose Under the background of economic and technological globalization, all countries will pay attention to science and technology innovation policies. At this time, the era of innovation policy plays an important role. In order to thoroughly implement the spirit of the 19th National Congress...