The thrust of this paper is to develop a new theoretical framework, based on large deviations theory, for the problem of optimal asset allocation in large portfolios. This problem is, apart from being theoretically interesting, also of practical relevance; examples include, inter alia, hedge funds...

We develop a new method to approximate the asymmetric multivariate probability density function (pdf) of financial asset returns by using series expansions; a rate of convergence for the mean absolute error of this approximation is also provided. We then propose the method of maximum likelihood...

This paper considers the problem of estimating expected values of functions that are inversely weighted by an unknown density using the <italic>k</italic>-nearest neighbor (<italic>k</italic>-NN) method. It establishes the <inline-graphic> </inline-graphic>-consistency and the asymptotic normality of an estimator that allows for strictly stationary time-series...

type="main" <p>Permutation tests for serial independence using three different statistics based on empirical distributions are proposed. These tests are shown to be consistent under the alternative of m-dependence and are all simple to perform in practice. A small simulation study demonstrates that...</p>