Financial anomalies have been studied in the United States. Recent evidence suggests that
financial anomalies have diminished in the United States and possibly in non-US portfolios …

Current practice largely follows restrictive approaches to market risk measurement, such as
historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit …

Machine learning (ML) methods are attracting considerable attention among academics in
the field of finance. However, it is commonly believed that ML has not transformed the asset …

The 4 equity market factors from Fama and French (1993) and Carhart (1997) are pervasive
in academia and practice. However, not much is known about their joint distribution and …

Recent empirical studies show that the estimated Markowitz mean–variance portfolios
oftentimes perform rather poorly when there are more than several assets in the investment …

We present the most general model of the type considered by Black and Litterman (1991)
after fully clarifying the duality between Black–Litterman optimization and Bayesian …

Marine protected areas (MPAs) are key tools in addressing the global decline of sharks and
rays, and marine parks and shark sanctuaries of various configurations have been …

Abstract In 1993, John Mulvey co-edited a Special Issue, entitled “Financial Engineering”, in
the Annals of Operations Research. In that issue, Guerard, Takano, and Yamane (1993) …

This paper presents MAXelerator, the first hardware accelerator for privacy-preserving
machine learning (ML) on cloud servers. Cloud-based ML is being increasingly employed in …

In this paper, we investigate the optimal statistical performance and the impact of
computational constraints for independent component analysis (ICA). Our goal is twofold. On …