Christopher Dolan

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We consider a common type of robust performance analysis that is formulated as maximizing an expectation among all probability models that are within some tolerance of a baseline model in the Kullback-Leibler sense. The solution of such concave program is tractable and provides an upper bound which is robust to model misspecification. However, this robust(More)
Our goal is to create a simple, yet robust, statistical model which can be used to quantify the risk present in a portfolio of mining assets. In pursuit of this goal we aim at explaining a systematic approach which takes as input a model which is constructed based on fundamental economic principles and simple statistical technniques (e.g. a mixed-e¤ect(More)
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