Return-based classification identifies a portfolio's style signature in the time series of its returns. Detection is based on a regression of portfolio returns on returns of factor mimicking indices. The method is easy to apply and does not require information about portfolio composition....

Recent developments in the theory of choice under uncertainty and risk yield a pessimistic decision theory that replaces the classical expected utility criterion with a Choquet expectation that accentuates the likelihood of the least favorable outcomes. A parallel theory has recently emerged in...

The approximately linear model represents deviations from the ideal linear model by a vector contained in a prescribed bias-ball. In a recent paper Mathew and Nordstrom (1993) proposed min--maxbias estimators in which a criterion function is defined by maximizing errors over the bias-ball. When...

The strong consistency of regression quantile statistics (Koenker and Bassett [4]) in linear models with iid errors is established. Mild regularity conditions on the regression design sequence and the error distribution are required. Strong consistency of the associated empirical quantile...