Showing 1 - 10 of 50
In this paper, we study transmission of traits through generations in multifactorial inheritance models with sex- and time-dependent heritability. We further analyze the implications of these models under heavy-tailedness of traits' distributions. Among other results, we show that in the case of...
Persistent link: https://www.econbiz.de/10005478809
We present a unified approach to value at risk analysis under heavy-tailedness using new majorization theory for linear combinations of thick-tailed random variables that we develop. Among other results, we show that the stylized fact that portfolio diversification is always preferable is...
Persistent link: https://www.econbiz.de/10005478835
Persistent link: https://www.econbiz.de/10005370859
This paper analyzes portfolio diversification for nonlinear transformations of heavy-tailed risks. It is shown that diversification of a portfolio of convex functions of heavy-tailed risks increases the portfolio's riskiness if expectations of these risks are infinite. In contrast, for concave...
Persistent link: https://www.econbiz.de/10005374753
Persistent link: https://www.econbiz.de/10005396167
Weak convergence of partial sums and multilinear forms in independent random variables and linear processes and their nonlinear analogues to stochastic integrals now plays a major role in nonstationary time series and has been central to the development of unit root econometrics. The present...
Persistent link: https://www.econbiz.de/10005411793
Persistent link: https://www.econbiz.de/10005411803
In this paper, we obtain characterizations of higher order Markov processes in terms of copulas corresponding to their finite-dimensional distributions. The results are applied to establish necessary and sufficient conditions for Markov processes of a given order to exhibit <italic>m</italic>-dependence,...
Persistent link: https://www.econbiz.de/10004972605
In this paper we present a study of the problem of approximating the expectations of functions of statistics in independent and dependent random variables in terms of the expectations of functions of the component random variables. We present results providing sharp analogues of the...
Persistent link: https://www.econbiz.de/10011139992
This paper analyzes portfolio diversification for nonlinear transformations of heavy-tailed risks. It is shown that diversification of a portfolio of convex functions of heavy-tailed risks increases the portfolio’s riskiness if expectations of these risks are infinite. In contrast, for...
Persistent link: https://www.econbiz.de/10011140015