We examine the impact of return predictability and parameter uncertainty on investors' long-term portfolio allocations in the context of disappointment aversion. We find persisting horizon effects, with stocks appearing progressively more attractive at longer horizons as opposed to shorter ones....

Through financial network analysis we ascertain the existence of important causal behavior among certain financial assets, as inferred by eight different causality methods. Our results contradict the Efficient Market Hypothesis and open new horizons for further investigation and possible...

In this paper, a vectorized quadratic convex optimization algorithm based on Matlab's quadprog built-in function is proposed. We target specifically a classic problem confronted by portfolio analysts, that of optimizing asset allocation when choosing among several asset classes, in the context...

The calculation of a fair premium is always a challenging topic in the real world insurance applications. In this paper, a nonlinear premium-reserve (P-R) model is presented and the premium is derived by minimizing a quadratic performance criterion. The reserve is a stochastic equation, which...

Changes in mortality rates have an impact on the life insurance industry, the financial sector (as a significant proportion of the financial markets is driven by pension funds), the governmental agencies, and the decision and policy makers. Thus, the pricing of financial, pension and insurance...

The effective management of uncertainty and complexity in premium pricing and reserve accumulation processes provide new challenges to the decision- and policy- makers. In this regard, the implementation of complex mathematical tools and advanced statistical techniques is highly acquired. Over...

Concerning the essence of risk, a joint replenishment and delivery scheduling problem with fuzzy cost-related parameters and random number of imperfect quality items is developed to make it suitable for the inherent uncertainties of procurement-shipment process. The mathematical modeling-based...

Wildfires, suspended soil and other particulates, and industrial emissions combine to raise the urgency of air quality as a planetary threat. This paper introduces Prometheus, a proactive decision-making framework for managing environmental and health risks associated with air pollution and...