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Ordinal Discriminant Analysis: A new approach to the construction of optimal linear scores for ordinal risk categories
construction optimal linear scores ordinal risk categories
2011/3/4
Most classification methods provide either a prediction of group membership or an assessment of class membership probability. In the case of two-group classifica-tion the predicted probability can be ...
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
Black-Scholes model Capital-at-Risk Expected Shortfall logarithmic utility optimal consumption portfolio optimization utility maximization Value-at-Risk
2010/4/27
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in te...