In this paper, we employ the theory of real option pricing to address problems in the area of operational risk management. Particularly, we develop a two-stage model to help firms determine the optimal suspension-reactivation triggers in the events of pandemics. In the first stage, we propose a...

Recently, a lot of attention has been focused on developing portfolio allocation models that take into account the asymmetric nature of asset return distributions. In this paper, we extend Krokhmal, Palmquist, and Uryasev's approach by using CVaR-like constraints in the traditional portfolio...

We solve a moment problem to compute the best upper and lower bounds on the expected value E[φ(X)], subject to constraints E[X^i] = μ_i for i = 1, 2,...,n. By setting φ(x)=I_(-\inf,t], the indicator function for the event X ≤ t, we calculate the bounds on Pr(X ≤ t) = E[I_(-\inf,t]]. The...

The paper discusses how to assess risk by computing the best upper and lower bounds on the expected value E[φ(X)], subject to the constraints E[Xⁱ] = µ_i for i = 0, 1, 2, . . . , n. φ(x) can take the form of the indicator function φ(x) = 𝕀_(−∞,K](x) in which the bounds on Pr(X ≤ K)...