In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e., the Markowitz mean–variance problem as well as the problems based on the mean–variance utility function and the quadratic utility. Conditions are derived under which the...

The explanation of heterogeneity when combining different studies is an important issue in meta analysis. Besides including a heterogeneity parameter in the analysis, it is also important to understand the possible causes of heterogeneity. A possibility is to incorporate study-specific...

Whittle estimation is a common technique for fitting parametric spectral density functions to time series, in an effort to model the underlying covariance structure. However, Whittle estimators from long-range dependent processes can exhibit slow convergence to their Gaussian limit law so that...

Adjusted Wald intervals for binomial proportions in one-sample and two-sample designs have been shown to perform about as well as the best available methods. The adjusted Wald intervals are easy to compute and have been incorporated into introductory statistics courses. An adjusted Wald interval...

In this study we evaluate the forecast performance of model averaged forecasts based on the predictive likelihood carrying out a prior sensitivity analysis regarding Zellner’s g prior. The main results are fourfold: First the predictive likelihood does always better than the traditionally...

The efficient frontier is a parabola in the mean-variance space which is uniquely determined by three characteristics. Assuming that the portfolio asset returns are independent and multivariate normally distributed, we derive tests and confidence sets for all possible arrangements of these...