In this paper, we consider a bank asset allocation problem with uncertain migration risk of credit ratings and capital adequacy ratio (CAR) regulations. In the practical scenarios, the future market values of each risky asset are largely affected by outer complex environments. We only observe the information about their first-moment and marginal second-moment of year-ahead market value of each loan asset. Based on these scenarios, we propose a new distributionally robust optimization model with the chance constraint characterized by uncertain CAR. Following the duality theory in infinite-dimensional optimization problem and the theory of conic linear optimization model, we can reformulate the original problem into a tractable linear deterministic semi-definite programming (SDP) model. By using this tractable linear SDP model, we can provide a robust asset allocation policy to bank managers. Further, we conduct a simulation study to illustrate the application of our method under two different economic conditions, a downward condition and an upward condition. Then a series of sensitivity tests is applied to examine the impacts of various factors, including safety probability, target CAR and recovery rate, on the optimal asset allocations. We also compare the performance of our model and the CVaR model. We demonstrate our model provides an efficient way to deal with the trade-off between expected return and CAR.

In this paper, we investigate the interaction impacts of body mass index (BMI) on the other important risk factors for venous thromboembolism (VTE), using deep venous thrombosis (DVT) patient data from the International Warfarin Pharmacogenetics Consortium (IWPC). We apply eight machine learning techniques, including naive Bayes classifier (NB), support vector machine (SVM), elastic net regression (ENET), logistic regression (LR), lasso regression (LAR), multivariate adaptive regression splines (MARS), boosted regression tree (BRT) and random forest model (RF). The RF method is selected as the best model for classification. Out of 33 features considered in this study, we identify 12 variables as relatively important risk factors for VTE. Finally, we examine the interaction impacts of BMI on these important VTE risk factors. We conclude that the impacts of risk factors on VTE incidence are varying across different BMI groups, and the variations are different for different risk factors. Therefore the interaction impacts of BMI on the other risk factors have to be taken into account in order to better understand the incidence of VTE.

We propose a categorical time-varying coefficient translog cost function, where each coefficient is expressed as a nonparametric function of a categorical time variable, thereby allowing each time period to have its own set of coefficients. Our application to U.S. electricity firms reveals that this model offers two major advantages over the traditional time trend representation of technical change: (1) it is capable of producing estimates of productivity growth that closely track those obtained using the Törnqvist approximation to the Divisia index; and (2) it can solve a well-known problem commonly referred to as “the problem of trending elasticities”.