In this study we propose the use of the Student's t dependence function to model dependence between asset returns when conducting stress tests. To properly include stress testing in a risk management system, it is important to have accurate information about the (joint) probabilities of extreme...

Empirically, co-skewness of asset returns seems to explain a substantial part of the cross-sectional variation of mean return not explained by beta. Thisfinding is typically interpreted in terms of a risk averse representativeinvestor with a cubic utility function. This comment questions...

We develop a Stochastic Dominance methodology to analyze if new assets expand theinvestment possibilities for rational nonsatiable and risk-averse investors. This methodologyavoids the simplifying assumptions underlying the traditional mean-variance approach tospanning. The methodology is...

We propose a new test of the stochastic dominance efficiency of a given portfolio over a classof portfolios. We establish its null and alternative asymptotic properties, and define a methodfor consistently estimating critical values. We present some numerical evidence that our testswork well in...

We analyze if the value-weighted stock market portfolio is second-order stochastic dominance (SSD) efficient relative to benchmark portfolios formed on market capitalization, book-to-market equity ratio and industry classification. During the period from the mid-1970s to the late 1980s, the...

We propose linear programming tests for spanning and intersection based on stochasticdominance rather than mean-variance analysis. An empirical application investigates thediversification benefits to US investors from emerging equity markets

E-learning plays an important role in education as it supports online education via computer networks and provides educational services by utilising information technologies. We present a case study describing the development of an Arabic language elearning course in statistics. Discussed are...

Students of introductory courses consider statistics as particularly difficult, as the understanding of the underlying concepts may require more time and energy than for other disciplines. For decades statisticians have tried to enhance understanding with the help of technical solutions such as...

With the increase of e-learning by universities and educational institutes in the world through more electronic platforms, come the questions to researchers, educators and designers of electronic platforms about feasibility and using this method of learning. Are we achieving the desired goals...