This paper considers a class of functions referred to as convex-concave-convex (CCC) functions to calibrate unimodal or multimodal probability distributions. In discrete case, this class of functions can be expressed by a system of linear constraints and incorporated into an optimization...

The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some...

A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a function of some factors. Such regression is called...