Despite the availability of more sophisticated methods, a popular way to estimate a Pareto exponent is still to run an OLS regression: log(Rank) = <italic>a</italic> - <italic>b</italic> log(Size), and take <italic>b</italic> as an estimate of the Pareto exponent. The reason for this popularity is arguably the simplicity and robustness of this...

A popular way to estimate a Pareto exponent is to run an OLS regression: log (Rank) = c - blog (Size), and take b as an estimate of the Pareto exponent. Unfortunately, this procedure is strongly biased in small samples. We provide a simple practical remedy for this bias, and argue that, if one...

Despite the availability of more sophisticated methods, a popular way to estimate a Pareto exponent is still to run an OLS regression: log(Rank)=a-b log(Size), and take b as an estimate of the Pareto exponent. The reason for this popularity is arguably the simplicity and robustness of this...

In this paper, we study transmission of traits through generations in multifactorial inheritance models with sex- and time-dependent heritability. We further analyze the implications of these models under heavy-tailedness of traits' distributions. Among other results, we show that in the case of...

We present a unified approach to value at risk analysis under heavy-tailedness using new majorization theory for linear combinations of thick-tailed random variables that we develop. Among other results, we show that the stylized fact that portfolio diversification is always preferable is...

This paper analyzes portfolio diversification for nonlinear transformations of heavy-tailed risks. It is shown that diversification of a portfolio of convex functions of heavy-tailed risks increases the portfolio's riskiness if expectations of these risks are infinite. In contrast, for concave...

Weak convergence of partial sums and multilinear forms in independent random variables and linear processes and their nonlinear analogues to stochastic integrals now plays a major role in nonstationary time series and has been central to the development of unit root econometrics. The present...