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Validity and precision of estimates in the classical newsvendor model with exponential and rayleigh demand
Halkos, George; Kevork, Ilias - Volkswirtschaftliche Fakultät, … - 2012
In this paper we consider the classical newsvendor model with profit maximization. When demand is fully observed in each period and follows either the Rayleigh or the exponential distribution, appropriate estimators for the optimal order quantity and the maximum expected profit are established...
Persistent link: https://www.econbiz.de/10009647205
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Markov-switching Asset Allocation: Do Profitable Strategies Exist?
Bulla, Jan; Mergner, Sascha; Bulla, Ingo; Sesboüé, André - Volkswirtschaftliche Fakultät, … - 2010
This paper proposes a straightforward Markov-switching asset allocation model, which reduces the market exposure to periods of high volatility. The main purpose of the study is to examine the performance of a regime-based asset allocation strategy under realistic assumptions, compared to a buy...
Persistent link: https://www.econbiz.de/10008592944
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Indirect estimation of GARCH models with alpha-stable innovations
Parrini, Alessandro - Volkswirtschaftliche Fakultät, … - 2012
Several studies have highlighted the fact that heavy-tailedness of asset returns can be the consequence of conditional heteroskedasticity. GARCH models have thus become very popular, given their ability to account for volatility clustering and, implicitly, heavy tails. However, these models...
Persistent link: https://www.econbiz.de/10011260772
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On the problem of the adequacy estimation of simulation models of the banking business processes
Rumyantsev, Mikhail I. - Volkswirtschaftliche Fakultät, … - 2010
This paper presents an overview of some general concepts and techniques of an adequacy estimation of simulation models …
Persistent link: https://www.econbiz.de/10011260831
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Confidence sets for some partially identified parameters
Fan, Yanqin; Park, Sang Soo - Volkswirtschaftliche Fakultät, … - 2010
In this paper, we first re-visit the inference problem for interval identified parameters originally studied in Imbens and Manski (2004) and later extended in Stoye (2008). We take the general criterion function approach and establish a new confidence interval that is asymptotically valid under...
Persistent link: https://www.econbiz.de/10009652936
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Partial identification of the distribution of treatment effects and its confidence sets
Fan, Yanqin; Park, Sang Soo - Volkswirtschaftliche Fakultät, … - 2009
In this paper, we study partial identification of the distribution of treatment effects of a binary treatment for ideal randomized experiments, ideal randomized experiments with a known value of a dependence measure, and for data satisfying the selection-on-observables assumption respectively....
Persistent link: https://www.econbiz.de/10009652944
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Risk aggregation, dependence structure and diversification benefit
Bürgi, Roland; Dacorogna, Michel M; Iles, Roger - Volkswirtschaftliche Fakultät, … - 2008
Insurance and reinsurance live and die from the diversification benefits or lack of it in their risk portfolio. The new … solvency regulations allow companies to include them in their computation of risk-based capital (RBC). The question is how to … really evaluate those benefits. To compute the total risk of a portfolio, it is important to establish the rules for …
Persistent link: https://www.econbiz.de/10009246890
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On the finite-sample properties of conditional empirical likelihood estimators
Crudu, Federico; Sándor, Zsolt - Volkswirtschaftliche Fakultät, … - 2011
We provide Monte Carlo evidence on the finite sample behavior of the conditional empirical likelihood (CEL) estimator of Kitamura, Tripathi, and Ahn (2004) and the conditional Euclidean empirical likelihood (CEEL) estimator of Antoine, Bonnal, and Renault (2007) in the context of a...
Persistent link: https://www.econbiz.de/10009325579
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Comparing performance of statistical models for individual’s ability index and ranking
Iqbal, Javed - Volkswirtschaftliche Fakultät, … - 2012
Efficient allocation of resources is the basic problem in economics. Firms, educational institutions, universities are faces problem of estimating true abilities and ranking of individuals to be selected for job, admissions and scholarship awards etc. This study will provide a guide line what...
Persistent link: https://www.econbiz.de/10009397159
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Evaluating alternative estimators for optimal order quantities in the newsvendor model with skewed demand
Halkos, George; Kevork, Ilias - Volkswirtschaftliche Fakultät, … - 2012
This paper considers the classical Newsvendor model, also known as the Newsboy problem, with the demand to be fully observed and to follow in successive inventory cycles one of the Exponential, Rayleigh, and Log-Normal distributions. For each distribution, appropriate estimators for the optimal...
Persistent link: https://www.econbiz.de/10009647405