This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and certain classes of portfolio optimization problems. It is economically general in the sense that it works for any cash stream spaces, be it in dynamic trading settings, one-step...

A major application of rescaled adjusted range analysis (RS analysis) is the study of price fluctuations in financial markets. There, the value of the Hurst constant, H, in a time series may be interpreted as an indicator of the irregularity of the price of a commodity, currency or similar...

We study behavior in experimental beauty contests with, first, boundary and interior equilibria, and, second, homogeneous and heterogenous types of players. We find quicker and better convergence to the game-theoretic equilibrium with interior equilibria and homogeneous players.

In this paper we analyze the sources of German unemployment within a structural vector error correction model (SVECM) framework. For this purpose, we propose a method to estimate an exactly identified Subset SVECM, which is a SVECM with short run parameter restrictions. A cointegration analysis...

We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a nondegeneracy condition on the conditional variances of asset...

This paper introduces MD*Crypt as a means of distributing statistical methods and computing power. This paper explores MD*Crypt regarding topics of education. The role of MD*Crypt in projects associated with teaching statistics is examined. In an outlook, the potential of the MD*Serv /MD*Crypt...

Assume L is a non-deterministic real valued Lévy process and f is a smooth function on [0,t]

Statistics is often difficult for students, since it requires coordination of quantitative and graphical insights with mathematical ability. Furthermore, ever-increasing special knowledge of statistics is demanded, since data of increasing complexity and size need to be understood and analyzed....