Showing 1 - 10 of 1,888
In this paper, we build estimation error in mean returns into the mean-variance (MV) portfolio theory under the assumption that returns on individual assets follow a joint normal distribution. We derive the conditional sampling distribution of the MV portfolio along with its mean and risk return...
Persistent link: https://www.econbiz.de/10012972754
In this paper, we consider the visualization and statistical modeling of financial data (e.g., sales, assets) for many global firms which are listed and delisted. This study presents an exploratory data analysis carried out in the R programming language. The results show that a log-linear model...
Persistent link: https://www.econbiz.de/10012921034
Persistent link: https://www.econbiz.de/10012819586
Simar and Wilson (J. Econometrics, 2007) provided a statistical model that can rationalize two-stage estimation of technical efficiency in nonparametric settings. Two-stage estimation has been widely used, but requires a strong assumption: the second-stage environmental variables cannot affect...
Persistent link: https://www.econbiz.de/10011317720
When benchmarking production units by non-parametric methods like data envelopment analysis (DEA), an assumption has to be made about the returns to scale of the underlying technology. Moreover, it is often also relevant to compare the frontiers across samples of producers. Until now, no exact...
Persistent link: https://www.econbiz.de/10012132662
This paper studies the asymptotic normality for the kernel deconvolution estimator when the noise distribution is logarithmic chi-square; both identical and independently distributed observations and strong mixing observations are considered. The dependent case of the result is applied to obtain...
Persistent link: https://www.econbiz.de/10011297541
This paper employs methodologies that were developed for heavy right-tailed distributions to construct the point and interval estimates of the expected operational losses in the US. These are consistent and unbiased estimates of the mean of the heavy right-tailed loss distribution, whereas those...
Persistent link: https://www.econbiz.de/10013138983
This paper proposes a linear categorical random coefficient model, in which the random coefficients follow parametric categorical distributions. The distributional parameters are identified based on a linear recurrence structure of moments of the random coefficients. A Generalized Method of...
Persistent link: https://www.econbiz.de/10013183733
This paper proposes a linear categorical random coefficient model, in which the random coefficients follow parametric categorical distributions. The distributional parameters are identified based on a linear recurrence structure of moments of the random coefficients. A Generalized Method of...
Persistent link: https://www.econbiz.de/10013291320
This paper deals with estimating peaked densities over the interval [0,1] using the Uneven Two-Sided Power Distribution (UTP). This distribution is the most complex of all the bounded power distributions introduced by Kotz and van Dorp (2004). The UTP maximum likelihood estimator, a result not...
Persistent link: https://www.econbiz.de/10013144110