In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which are based on statistical methods with the out-of-sample performance of a family of trivial strategies. A wide range of approaches is considered in this work, including the...

Compared with the broad supply of literature measuring socioeconomic gradients in the distribution of health, only little is know about the life course perspective regarding income related inequalities. This article combines the reowned concentration index approach with semiparametric estimation...

Many different robust estimation approaches for the covariance or shape matrix of multivariate data have been established until today. Tyler's M-estimator has been recognized as the 'most robust' M-estimator for the shape matrix of elliptically symmetric distributed data. Tyler's Mestimators for...

We develop a general approach to portfolio optimization taking account of estimation risk and stylized facts of empirical finance. This is done within a Bayesian framework. The approximation of the posterior distribution of the unknown model parameters is based on a parallel tempering algorithm....

It has been frequently observed in the literature that many multivariate statistical methods require the covariance or dispersion matrix ∑ of an elliptical distribution only up to some scaling constant. If the topic of interest is not the scale but only the shape of the elliptical...

The decline of the middle class has been investigated as a principal aspect of social polarization (Wolfson 1994, 1997). Wang and Tsui 2000 have characterized a class of polarization measures by postulates on normalization, increasing spread and increasing bipolarity. The present paper...

In this paper, we derive two shrinkage estimators for the global minimum variance portfolio that dominate the traditional estimator with respect to the out-of-sample variance of the portfolio return. The presented results hold for any number of observations n ≥ d + 2 and number of assets d ≥...

This paper applies the Alkire and Foster (2011) index of multidimensional poverty to German data. This is done with respect to the politically most important dimensions of poverty mentioned in the German federal government's report on poverty and wealth. Additionally, a modification of the...

Pearson's correlation coefficient is typically used for measuring the dependence structure of stock returns. Nevertheless, it has many shortcomings often documented in the literature. We suggest to use a conditional version of Spearman's rho as an alternative dependence measure. Our approach is...

Bei der Messung der Intelligenz eines bestimmten Probanden liegen typischerweise unterschiedliche Testergebnisse vor und der untersuchende Psychologe möchte die vorliegenden Messwerte im Kontext der Ergebnisse anderer Probanden bewerten. Dabei will er das Potenzial seines Probanden...