Managing risk in a four-digit number game

SIAM Review

Volumn 44, Issue 4, 2002, Pages 601-615

  Teo, Chung Piaw ^a   Leong, Siew Meng ^a  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

Author keywords

Control mechanism; Four digit number game; Gambling; Portfolio optimization

Indexed keywords

COMPUTER SIMULATION; CONTROL SYSTEM SYNTHESIS; FORECASTING; MATHEMATICAL MODELS; NONLINEAR PROGRAMMING; PROBABILITY DENSITY FUNCTION; RISK MANAGEMENT; THEOREM PROVING;

FOUR DIGIT NUMBER GAME; GAMBLING; NONLINEAR OPTIMIZATION; PORTFOLIO OPTIMIZATION;

GAME THEORY;

EID: 0036959329     PISSN: 00361445     EISSN: None     Source Type: Journal    
DOI: 10.1137/S00361445003669     Document Type: Article

References (9)

1. Florida Lottery games PLAY 4 web site, http://www.flalottery.com.
2. Singapore Pools web site, http://www.singaporepools.com.sg.
3. Magnum Four-Digit Malaysia web site, http://www.twosteps.com/magnumfour-digit/.
4. A. Ben-Tal and A. Nemirovski, Robust solutions of linear programs, Oper. Res. Lett., 25 (1999), pp. 1-13.
5. R. Johnson and J. Klotz, Estimating hot numbers and testing uniformity for the lottery, J. Amer. Statist. Assoc., 88 (1993), pp. 662-668.
6. P. Jorion, Value at Risk, McGraw-Hill, New York, 1997.
7. T. Post, Performance evaluation in stochastic environments using mean-variance data envelopment analysis, Oper. Res., 49 (2001), pp. 281-292.
8. R. T. Rockafellar and S. Uryasev, Optimization of conditional value-at-risk, J. Risk, 2 (2000), pp. 21-41.
9. M. C. Steinbach, Markowitz revisited: Mean-variance models in financial portfolio analysis, SIAM Rev., 43 (2001), pp. 31-85.