This article introduces a framework to determine and allocate capital reserves to multiple dependent business lines, with or without overall reserve level constraints. The proposed methodology emphasizes the role of the loss function in the validation criterion and its conditional...

We define a battery of Sharpe performance measures, which differ by the information taken into account in their computation, but also by the potential use of the fund by the investor. Four advantages of Sharpe performance based rating are especially important for the investor. First, the...

This paper introduces a new parametric fund performance measure, called the L-performance. The L-performance is an alternative to the Sharpe performance, which is commonly used in practice despite its inability to account for skewness and heavy tails of unconditional return distributions. The...

In this note we propose a general testing procedure for parametric models based on Bartlett Identities. A well-known example is the Information Matrix test, which is based on the Bartlett Identity of order 1. The Identities are shown to induce a sequenceof testable restrictions on the data...

In this paper, we introduce the concept of covariance estimators. These estimators are obtained by solving the empirical counterpart of some noncorrelation conditions characterizing the interest parameters. The statistical properties of the covariance estimators are studied in a general...

In microeconomic, the individual differences are taken into account by the introduction of explanatory variables but also by means of the parameters of interest. This parameter of heterogeneity is in general described by the p.d.f. of the parameter among the individuals (heterogeneity...

This paper introduces impulse response analysis for nonlinear processes based on the concept of nonlinear innovation. Our approach borrows from the traditional linear impulse response analysis in that we consider shocks to innovations of a process. It also extends the methods of nonlinear...

The aim of this paper is the aggregation of AR (1) processes. We determine the dynamic models satisfied by the aggregated series and we characterize all the series which may be interpreted as such an aggregate. We study more carefully the case of a bêta heterogeneity distribution. In particular...