Economics

Economics

Distributions of many variables of interest in developed economic and financial markets, including income and wealth, exhibit heavy tails as in the case of Pareto or power laws. Many commonly used income and wealth inequality measures are very sensitive to extremes and outliers generated by...

Empirical analyses on inequality measurement and those in other fields in economics and finance often face the difficulty that the data is correlated, heterogeneous or heavy-tailed in some unknown fashion. The paper focuses on analogues and modifications of the recently developed t-statistic...

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...