We consider the problem related to the estimation of parametric models in the presence of outliers. The maximum likelihood estimator is often used to find parameter values. However, it is highly sensitive to abnormal points. In this regard, the weighted trimmed likelihood estimator (WTLE) has...

A new portfolio selection framework is introduced where the investor seeks the allocation that is as close as possible to his "ideal" portfolio. To build such a portfolio selection framework, the f-divergence measure from information theory is used. There are many advantages to using the...

We consider the use of the generalized lambda distribution (GLD) family as a flexible distribution with which to model financial data sets. The GLD can assume distributions with a large range of shapes. Analysts can therefore work with a single distribution to model almost any class of financial...

It is well known that the finite-sample null distribution of the Jarque-Bera Lagrange Multiplier (LM) test for normality and its adjusted version (ALM) introduced by Urzua differ considerably from their asymptotic \chi^2(2) limit. Here, we present results from Monte Carlo simulations using 10^7...

The generalized lambda distribution (GLD) is a versatile distribution that can accommodate a wide range of shapes, including fat-tailed and asymmetric distributions. It is defined by its quantile function. We introduce a more intuitive parameterization of the GLD that expresses the location and...

Generalized autoregressive heteroskedasticity (GARCH) models are widely used to reproduce stylized facts of financial time series and today play an essential role in risk management and volatility forecasting. But despite extensive research, problems are still encountered during parameter...

In explaining economic phenomena, economic analysis concentrates on selected influences and fixes the host of other factors under a ceteris paribus clause. This view, which goes back to Alfred Marshall (1842-1924), is developed in the first part of the book. Aggregation is viewed as a particular...

Life annuities provide a guaranteed income for the remainder of the recipient’s lifetime, and therefore, annuitization presents an important option when choosing an adequate investment strategy for the retirement ages. While there are numerous research articles studying annuities from a...

Even 50 years after Modigliani/Miller’s irrelevance theorem, the basic question of how firms choose their capital structure remains unclear. This survey paper aims at summarizing and discussing corresponding recent developments in empirical capital structure research, which, in our view, are...

In 2003, Swiss Re introduced a mortality-based security designed to hedge excessive mortality changes for its life book of business. The concern was apparently brevity risk, i.e., the risk of premature death. The brevity risk due to a pandemic is similar to the property risk associated with...