Enhanced-index-funds have attracted considerable attention from investors over the last decade, which aims at outperforming a benchmark index while maintaining a similar risk level. In this paper, we investigate an enhanced indexation methodology using Conditional Value-at-Risk (CVaR). In...

Under the assumption of no arbitrage opportunity, the price of stock index futures should be equal to the spot price of the underlying stock index, excluding capital costs, dividends, and trading costs. However, since stock index futures have been introduced to the Chinese market in 2010, their...

Our research investigates how preference satisfaction, particularly intrinsic values such as psychological comfort, can improve a worker's service efficiency and quality. Examining a comprehensive dataset linking surgeons' performances to their preferences for operating rooms, we not only...

We study sensitivity analysis of portfolio credit derivatives, including basket default swaps and collateralized debt obligations. An unbiased estimator is derived using conditional Monte Carlo for sensitivities with respect to systemic parameters (parameters that influence some or all the...

Accurate diagnosis directly impacts service quality and resource allocation in healthcare operations. Advanced medical tests can improve doctors' diagnostic accuracy, but they are usually financially costly or infeasible for some patients. To achieve decent diagnostic performance when advanced...

We study a decentralized admission control problem with capacity borrowing. In this problem, the admission decision is made by each server who is assigned dedicated capacity. However, a server can borrow capacity from other servers if his dedicated capacity is exhausted. The borrower compensates...

The assessment of dose-response is an integral component of the drug development process. Parallel dose-response studies are conducted, customarily, in preclinical and phase 1, 2 clinical trials for this purpose. Practical constraints on dose range, dose levels and dose proportions are intrinsic...

The generalized likelihood ratio (GLR) method is a recently introduced gradient estimation method for handling discontinuities in a wide range of sample performances. We put the GLR methods from previous work into a single framework, simplify regularity conditions to justify the unbiasedness of...