We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated ...

Mathematics of Operations Research, Vol. 41, No. 1 (February 2016), pp. 146-173 (28 pages) This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) ...

We estimate real-world private firm default probabilities over a fixed time horizon. The default probabilities are conditioned on a vector of explanatory variables which include financial ratios, ...

NATIONAL HARBOR, Md.--(BUSINESS WIRE)--Leaders with the Consortium for State and Regional Interoperability (CSRI), a collection of the nation’s largest and most ...