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Discipline of Business Analytics
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Global combinations of expert forecasts
Published 2022Expert forecast combination—the aggregation of individual forecasts from multiple subjectmatter experts— is a proven approach to economic forecasting. To date, research in this area has exclusively concentrated on local ...Open AccessWorking Paper -
A New Method to Solve Zero-Sum Games under Moment Conditions
Published 2022-07-27When only the moments (mean, variance or t-th moment) of the underline distribution are known, numerous max-min optimization models can be interpreted as a zero-sum game, in which the decision maker (DM) chooses actions ...Open AccessArticle -
On the uncertainty of a combined forecast: The critical role of correlation
Published 2021The purpose of this paper is to show that the effect of the zero-correlation assumption in combining forecasts can be huge, and that ignoring (positive) correlation can lead to confidence bands around the forecast combination ...Open AccessWorking Paper -
Forecast combination puzzle in the HAR model
Published 2021The Heterogeneous Autoregressive (HAR) model of Corsi (2009) has become the benchmark model for predicting realized volatility given its simplicity and consistent empirical performance. Many modifications and extensions ...Open AccessWorking Paper -
Two-Stage Stochastic and Robust Optimization for Non-Adaptive Group Testing
Published 2020-10-28We consider the problem of detecting defective items amongst a large collection, by conducting tests of individual or groups of items. Group testing offers improvements over the naive individual testing scheme by potentially ...Open AccessWorking Paper