We will propose a new and practical method for estimating the failure probability of a large number of small to medium scale companies using their balance sheet data. We will use the maximum likelihood method to estimate the best parameters of the logit function, where the failure intensity...

This paper is concerned with porfolio optimization problems with integer constraints. Such problems include, among others mean-risk problems with nonconvex transaction cost, minimal transaction unit constraints and cardinality constraints on the number of assets in a portfolio. These problems,...