We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We justify block bootstrap approaches to achieve valid inference in a time series setting. The test statistics are computed...

Every year tens of thousands of refugees are resettled to dozens of host countries. While there is growing evidence that the initial placement of refugee families profoundly affects their lifetime outcomes, there have been few attempts to optimize resettlement decisions. We integrate machine...

We introduce an adaptive importance sampling method for the loss distribution of credit portfolios based on the Robbins-Monro stochastic approximation procedure. After presenting the subtle construction of the algorithm, we apply our adaptive scheme for calculating the risk figures of a typical...

The German Robert Koch Institute aims to "protect the population from disease and improve their state of health" (RKI 2017). To this end, it develops concrete, research-based recommendations for policymakers and makes data available to the expert public. Since March 4, 2020, it has been...

A micro decision-making utility model under uncertainty is presented as a complementary foundation for macro coronavirus models. The micro model consists of two functions, a risk averse utility function depending on wellness and a wellness random output which is a function of the input variable...

The German Robert Koch Institute aims to "protect the population from disease and improve their state of health" (RKI 2017). To this end, it develops concrete, research-based recommendations for policymakers and makes data available to the expert public. Since March 4, 2020, it has been...

We investigate what it means for one act to be more ambiguous than another. The question is evidently analogous to asking what makes one prospect riskier than another, but beliefs are neither objective nor representable by a unique probability. Our starting point is an abstract class of...

In this article we study the distributional properties of the linear discriminant function under the assumption of the normality by comparing two groups with the same covariance matrix but di erent mean vectors. A stochastic representation of the discriminant function coefficient is derived...

In this paper we consider the estimated weights of tangency portfolio. The returns are assumed to be independently and multivariate normally distributed. We derive analytical expressions for the higher order non-central and central moments of these weights. Moreover, the expressions for mean,...

In this paper we derive the nite-sample distribution of the esti- mated weights of the tangency portfolio when both the population and the sample covariance matrices are singular. These results are used in the derivation of a statistical test on the weights of the tangency port- folio where the...