Search Results - subject:"Random variables"

Rethinking risk and return: part 2 – some felicitous Fourier frequencies

Powers, Michael R. - In: Journal of Risk Finance 10 (2009) May, pp. 205-209

-normal (i.e. asymmetric and long-tailed) random variables in the context of both investment and insurance portfolios. The … Fourier transform is always well defined, even for long-tailed random variables. The frequency parameter necessary for the … long-tailed random variables as to normal random variables. …

Persistent link: https://www.econbiz.de/10004979812

Constant-sum sampling: an apology for statistics' “original sin”

Powers, Michael R. - In: Journal of Risk Finance 10 (2009) August, pp. 317-320

-sum constraint (that is, a succession of identically distributed random variables that add up to some predetermined constant) in … considering the intuition that successive random variables must be negatively correlated to provide the “balance” required by … random variables suggests that the constant-sum model played a significant role in the lives of our primitive human ancestors …

Persistent link: https://www.econbiz.de/10010815054

Laplace random variables with application to price indices

Nadarajah, Saralees - In: AStA Advances in Statistical Analysis 93 (2009) 3, pp. 345-369

Persistent link: https://www.econbiz.de/10005014994

Pearson type VII ratio distribution

Nadarajah, Saralees - In: Empirical Economics 37 (2009) 1, pp. 219-229

Persistent link: https://www.econbiz.de/10005061342

Strong law of large numbers for pairwise positive quadrant dependent random variables

Sancetta, Alessio - In: Statistical Inference for Stochastic Processes 12 (2009) 1, pp. 55-64

Persistent link: https://www.econbiz.de/10005184585

Defining Bad News: Changes in Return Distributions That Decrease Risky Asset Demand

Hollifield, Burton; Kraus, Alan - In: Management Science 55 (2009) 7, pp. 1227-1236

We provide a random variable characterization of the necessary and sufficient conditions for a shift of the distribution of rate of return on the risky asset in the two-asset portfolio problem to reduce demand for all strictly risk-averse expected-utility-maximizing investors. We also provide...

Persistent link: https://www.econbiz.de/10009204023

The Pareto optimality distribution

Nadarajah, Saralees - In: Quality & Quantity: International Journal of Methodology 43 (2009) 6, pp. 993-998

Persistent link: https://www.econbiz.de/10009396681

On Three Shapley-Like Solutions for Cooperative Games with Random Payoffs

Borm, Peter; Timmer, J.B.; Tijs, S.H. - Tilburg University, Center for Economic Research - 2000

AMS classification: 90D12.

Persistent link: https://www.econbiz.de/10011092528

Convexity in Stochastic Cooperative Situations

Borm, Peter; Timmer, J.B.; Tijs, S.H. - Tilburg University, Center for Economic Research - 2000

AMS classification: 90D12.

Persistent link: https://www.econbiz.de/10011092547

Day-To-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate

Prati, Alessandro; Bertola, Giuseppe; Bartolini, Leonardo - International Monetary Fund (IMF) - 2000

We propose a model of the interbank money market with an explicit role for central bank intervention and periodic reserve requirements, and study the interaction of profit-maximizing banks with a central bank targeting interest rates at high frequency. The model yields predictions on biweekly...

Persistent link: https://www.econbiz.de/10005769266