In a traditional mean-variance approach a portfolio is represented by the allocation vector optimized in terms of expected returns and variances. Basic assumption is that the allocation vector may only be the driver of a portfolio risk-reward trade-off, while all constituent assets are fully...

Previous theoretical work by the authors has developed a framework for optimizing portfolio decisions when moments higher than the variance are considered. Apart a significant increase in computational complexity, inclusion of higher order moments implies a careful judgement on which...

Presently, conditions ensuring the validity of bootstrap methods for the sample mean of (possibly heterogeneous) near epoch dependent (NED) functions of mixing processes are unknown. Here we establish the validity of the bootstrap in this context, extending the applicability of bootstrap methods...

The paper presents a discussion how firms rationally adjust the level of their recruitment effort in relation to the ease of filling the vacancy through public unemployment offices. This induces dependence between the durations in the two channels of recruitment. Multivariate models with random...

We derive the asymptotic sampling distribution of various estimators frequently used to order distributions in terms of poverty, welfare and inequality. This includes estimators of most of the poverty indices currently in use, as well as estimators of the curves used to infer stochastic...

We contrast two approaches to the prediction of latent variables in the model of factor analysis. The likelihood statistic constitutes the set of minimal sufficient statistics for the unobservables when sampling arises from the exponential family of distributions. Linear predictors on the other...

Many problems in the environmental sciences have a spatial component. This is particularly true when questions arise about how species act and interact at community and regional levels, in response to environmental changes. I make the case for Bayesian hierarchical models to play a dominant role...

We derive declining exponential rent and density functions for a monocentric city form a new set of assumptions, which place restrictions on commuting costs rather than on the demand for land.

The entropy principle yields, for a given set moments, a density that involves the smallest amount of prior information. We first show how entropy densities may be constructed in a numerically efficient way as the minimization of a potential. Next, for the case where the first four moments are...