Threshold Accepting (TA) is a powerful optimization heuristic from the class of stochastic local search algorithms. It has been applied successfully to different optimization problems in statistics and econometrics, including the uniform design problem. Using the latter application as example,...

Value at risk (VaR) has become a standard measure of portfolio risk over the last decade. It even became one of the corner stones in the Basel II accord about banks' equity requirements. Nevertheless, the practical application of the VaR concept suffers from two problems: how to estimate VaR and...

Offshore wind power is a renewable energy of growing relevance in current electric energy systems, presenting favorable wind conditions in comparison with the sites on land. However, the higher energy yield has to compensate the increment in installation and maintenance costs, thus the...

In nonparametric function estimation, the inclusion of shape constraints can confer several advantages, including improved estimation accuracy, reduced sensitivity to smoothing parameters, and control over the qualitative appearance of the estimate. Finding shape-restricted estimates may require...

Reducing institutional rigidities in product and labour markets is key to lowering unemployment. The impact of such labour and product market reforms, however, depends crucially on the country-specific regulatory framework. In this paper, we estimate the country-specific impact of changes in six...

Reducing institutional rigidities in product and labour markets is key to lowering unemployment. The impact of such labour and product market reforms, however, depends crucially on the country-specific regulatory framework. In this paper, we estimate the country-specific impact of changes in six...

In many cases, collusive agreements are formed by asymmetric firms and include only a subset of the firms active in the cartelized industry. This paper endogenizes the process of cartel formation in a numeric simulation model where firms differ in marginal costs and production technologies. The...

This paper proposes a clustering asset allocation scheme which provides better risk-adjusted portfolio performance than those obtained from traditional asset allocation approaches such as the equal weight strategy and the Markowitz minimum variance allocation. The clustering criterion used,...

In practical portfolio choice models risk is often defined as VaR, expected shortfall, maximum loss, Omega function, etc. and is computed from simulated future scenarios of the portfolio value. It is well known that the minimization of these functions can not, in general, be performed with...

Empirical distributions are often claimed to be superior to parametric distributions, yet to also increase the computational complexity and are therefore hard to apply in portfolio optimization. In this paper, we approach the portfolio optimization problem under constraints on the portfolio’s...