I explore investors’ welfare losses when they restrict themselves to invest in either stocks only or bonds only, but not in both. The restriction gives investors sub-optimal asset allocations that result in welfare losses. To measure these welfare losses I compare “only stock indices and...

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on...

Motivated by too restrictive or even incorrect statements about generalized inverses in the literature, properties about these functions are investigated and proven. Examples and counterexamples show the importance of generalized inverses in mathematical theory and its applications. Copyright...

Motivated by too restrictive or even incorrect statements about generalized inverses in the literature, properties about these functions are investigated and proven. Examples and counterexamples show the importance of generalized inverses in mathematical theory and its applications. Copyright...

The natural time domain has shown to be an important tool to obtain relevant information hidden in time series of complex systems not easily obtainable by means of standard analysis methods. By assuming that tectonism is a complex system and that earthquakes are similar to a phase transition, it...

Wavelets have been successfully used for nonparametric function estimation, but for density and hazard functions, estimators must be nonnegative. In this paper, we develop a quasi-continuous nonnegative “wavelet” basis from Daubechies wavelets with good approximation properties. Using this...

Consider an infinite sequence of Bernoulli trials {Xi|i=1,2,…}. Let W(k) denote the waiting time, the number of trials needed, to get either consecutive k ones or k zeros for the first time. The probability distribution of W(k) is derived for both independent and homogeneous two-state...