In this paper, we first develop some properties to state the relationships among central moments, stochastic dominance (SD), risk-seeking stochastic dominance (RSD), and integrals for the general utility functions and the polynomial utility functions of both risk averters and risk seekers. We...

Deciding between the use of market orders and limit orders is an important question in practical optimal trading problems. A key ingredient in making this decision is understanding the uncertainty of the execution of a limit order, that is, the fill probability or the probability that an order...

This paper shows the wage offer distribution can be nonparametrically identified from the gaps between any two wage offers received by a worker for those who received two or more offers in a short period of time. While nonparametric estimation is infeasible in practice because it requires an...

This study provides empirical evidence for the efficacy of deriving firms' earnings forecasts from predictions of the complete, conditional probability density function (pdf). Relative to cross-sectional earnings forecasts based on OLS regressions, improvements of accuracy, bias and measures for...

Stocks are one of the aspects that affect the economy in the world. In the stock market, the price of a stock changes every time. Investors who are able to predict the increase in stock prices will tend to get profit, but investors who are unable to predict the increase in stock prices will tend...

Media reports say that high earners and syndicates buy lottery tickets in bulk. Experimental evidence shows that agents aggressively bid in auctions and contests. Do people try to trade-off the probability of winning with other basic risk dimensions (for example, cost) to achieve a subjective...

We use machine learning methods for modeling multi-period corporate default probabilities and obtain higher prediction accuracy compared to linear models with the differences being larger for longer prediction horizons. Overall, tree-boosting has the highest prediction accuracy. In addition, we...

This paper shows how to generate the joint distribution of correlated random variables with specified marginal distributions. For cases where the marginal distributions are either normal or lognormal, it shows how to calculate analytically the correlation of the underlying normal distributions...

In this paper, based on the cumulative distribution function (CDF) method (Jradiet al., 2021) for finding the optimal quantile when estimating stochastic frontier models(SFM) with normal-exponential composite error term, we derive an expression to findthe optimal quantile for the SFM with...

In this paper, we study the finite-time ruin probability in the risk model driven by a L´evy subordinator, by incorporating the popular Fourier-cosine method. Our interest is to propose a general approximation for any specified precision provided that the characteristic function of the L´evy...