In this paper, we consider a Portmanteau-type test of randomness for symmetric [alpha] stable random variables with exponent 0[alpha]=2, using a test statistic that differs from, but has the same general form as Box-Pierce Q-statistic, which is defined using the codifference function. We obtain...

This study presents an improvement to the mean-variance portfolio optimization model, by considering both the integer transaction lots and a robust estimator of the covariance matrices. Four robust estimators were tested, namely the Minimum Covariance Determinant, the S, the MM, and the...

This study presents an improvement to the mean-variance portfolio optimization model, by considering both the integer transaction lots and a robust estimator of the covariance matrices. Four robust estimators were tested, namely the Minimum Covariance Determinant, the S, the MM, and the...

In their recent paper, Wang and Leblanc (Ann Inst Stat Math 60:883–900, <CitationRef CitationID="CR17">2008</CitationRef>) have shown that the second-order least squares estimator (SLSE) is more efficient than the ordinary least squares estimator (OLSE) when the errors are independent and identically distributed with non zero third...</citationref>

Purpose: Farmer exchange rate (FER) is the ratio between a farmer's income and expenditure and is also an indicator of farmers’ welfare. There is little research regarding its use in risk modeling in crop insurance. This study seeks to propose a design for a household margin insurance scheme...