Decision-making in finance often requires an accurate estimate of the coskewness matrix to
optimize the allocation to random variables with asymmetric distributions. The classical …

We propose a minimum distance estimator for the higher-order comoments of a multivariate
distribution exhibiting a lower dimensional latent factor structure. We derive the influence …

Description Collection of econometric functions for performance and risk analysis. In
addition to standard risk and performance metrics, this package aims to aid practitioners and …

Many financial portfolios are not mean-variance-skewness-kurtosis efficient. We recommend
tilting these portfolios in a direction that increases their estimated mean and third central …

… CornillyFaculty of Economics, Vrije Universiteit Brussel, Pleinlaan 2, 1050Bruxelles,
Belgium.;Department of Mathematics, KU Leuven, Celestijnenlaan 200B, 3001Leuven …

The study of worst-case scenarios for risk measures (eg, Value-at-Risk) when the underlying
risk (or portfolio of risks) is not completely specified is a central topic in the literature on …

We provide a new mathematical framework for the classic problem of fair allocation of
indivisible goods, showing that it can be formulated as the problem of finding an optimal column …

This article proposes a method to decompose the carbon intensity of a portfolio with respect
to a benchmark into an allocation and a selection component. The carbon-intensity …

Logistic regression is one of the most popular statistical techniques for solving (binary)
classification problems in various applications (eg credit scoring, cancer detection, ad click …

Many classical synchronization problems such as the assembly line crew scheduling
problem (ALCS), some data association problems or multisensor tracking problems can be …