Related papers: General framework for a portfolio theory with non-…
We study extremal statistics and return intervals in stationary long-range correlated sequences for which the underlying probability density function is bounded and uniform. The extremal statistics we consider e.g., maximum relative to…
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…
The analysis and planning methods for competing risks model have been described in the literatures in recent decades, and non-inferiority clinical trials are helpful in current pharmaceutical practice. Analytical methods for non-inferiority…
We analyze characteristics' joint predictive information through the lens of out-of-sample power utility functions. Linking weights to characteristics to form optimal portfolios suffers from estimation error which we mitigate by maximizing…
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on predictable variables and that the joint…
Insurance data can be asymmetric with heavy tails, causing inadequate adjustments of the usually applied models. To deal with this issue, hierarchical models for collective risk with heavy-tails of the claims distributions that take also…
In this paper, we introduce a new class of distributions which is obtained by compounding the extended Weibull and power series distributions. The compounding procedure follows the same set-up carried out by Adamidis and Loukas (1998) and…
Growth mixture models (GMMs) incorporate both conventional random effects growth modeling and latent trajectory classes as in finite mixture modeling; therefore, they offer a way to handle the unobserved heterogeneity between subjects in…
We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor's capital. We determine the optimal fraction of…
Using the framework of factor models, we establish the general expression of the coefficient of tail dependence between the market and a stock (i.e., the probability that the stock incurs a large loss, assuming that the market has also…
The proposed paper discusses the problem of discrimination between close hypotheses about distributions belonging to the Gumbel maximum domain of attraction. The distinctive feature of the proposed work is using only k higher order…
This article considers a model for alternative processes for securities prices and compares this model with actual return data of several securities. The distributions of returns that appear in the model can be Gaussian as well as…
Analysis of competing risks data plays an important role in the lifetime data analysis. Recently Feizjavadian and Hashemi (Computational Statistics and Data Analysis, vol. 82, 19-34, 2015) provided a classical inference of a competing risks…
q-Gaussian distribution appear in many science areas where we can find systems that could be described within a nonextensive framework. Usually, a way to assert that these systems belongs to nonextensive framework is by means of numerical…
The cumulant analysis plays an important role in non Gaussian distributed data analysis. The shares' prices returns are good example of such data. The purpose of this research is to develop the cumulant based algorithm and use it to…
The aim of this article is to determine a new six-parameter Beta Weibull distribution and its various associated functions, namely the cumulative distribution, survival, probability density and hazard functions. Next, we determine the…
In this paper we consider the problem of computing tail probabilities of the distribution of a random sum of positive random variables. We assume that the individual variables follow a reproducible natural exponential family (NEF)…
For the past two decades investors have observed long memory and highly correlated behavior of asset classes that does not fit into the framework of Modern Portfolio Theory. Custom correlation and standard deviation estimators consider…
Portfolio selection problems that optimize expected utility are usually difficult to solve. If the number of assets in the portfolio is large, such expected utility maximization problems become even harder to solve numerically. Therefore,…
Earlier studies have shown that stock market distributions can be well described by distributions derived from Tsallis entropy, which is a generalization of Shannon entropy to non-extensive systems. In this paper, Tsallis relative entropy…