In this paper we estimate 𝑅 = P{𝑋 < 𝑌} when 𝑋 and 𝑌 are independent random variables following the Peng-Yan extended Weibull distribution. We find maximum likelihood estimator of 𝑅 and its ...

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 ...