Alexander Kogan

Threshold Boolean Form for Joint Probabilistic Constraints with Random Technology Matrix

  • Alexander Kogan
  • Miguel A. Lejeune
    • Categories (Mixed) Integer Nonlinear Programming, Data-Mining, Stochastic Programming Tags , , , , ,

    We develop a new modeling and exact solution method for stochastic programming problems that include a joint probabilistic constraint in which the multirow random technology matrix is discretely distributed. We binarize the probability distribution of the random variables in such a way that we can extract a threshold partially defined Boolean function (pdBf) representing the … Read more

    REVERSE-ENGINEERING COUNTRY RISK RATINGS: COMBINATORIAL NON-RECURSIVE MODEL

  • Peter L. Hammer
  • Alexander Kogan
  • Miguel A. Lejeune
    • Categories Combinatorial Optimization, Data-Mining, Finance and Economics Tags , , , ,

    The central objective of this paper is to develop a transparent, consistent, self-contained, and stable country risk rating model, closely approximating the country risk ratings provided by Standard and Poor’s (S&P). The models should be non-recursive, i.e., they should not rely on the previous years’ S&P ratings. The selected set of variables includes not only … Read more