A new procedure, called DD-procedure, is developed to solve the problem of classifying d-dimensional objects into q Ï 2 classes. The procedure is completely nonparametric; it uses q-dimensional depth plots and a very efficient algorithm for discrimination analysis in the depth space [0, 1]q ....

This paper applies the Alkire and Foster (2011) index of multidimensional poverty to German data. This is done with respect to the politically most important dimensions of poverty mentioned in the German federal government's report on poverty and wealth. Additionally, a modification of the...

We consider a vector-valued multivariate risk measure that depends on the user's profile given by the user's utility. It is constructed on the basis of weighted-mean trimmed regions and represents the solution of an optimization problem. The key feature of this measure is convexity. We apply the...

The specification of prior parameters is a common practical problem when implementing Bayesian approaches to portfolio optimization. The precision parameter of the prior on the expected asset returns reflects the confidence of the investor in the prior knowledge. Within the framework of the...

In small samples and especially in the case of small true default probabilities, standard approaches to credit default probability estimation have certain drawbacks. Most importantly, standard estimators tend to underestimate the true default probability which is of course an undesirable...

Linear optimization problems are investigated whose parameters are uncertain. We apply coherent distortion risk measures to capture the violation of restrictions. Such a model turns out to be appropriate for many applications and, principally, for the mean-risk portfolio selection problem. Each...

This paper deals with nonparametric inference for second order stochastic dominance of two random variables. If their distribution functions are unknown they have to be inferred from observed realizations. Thus, any results on stochastic dominance are in uenced by sampling errors. We establish...

This paper deals with some problems in the measurement of inequality when negative incomes are allowed. A helpful axiom is defined, called the Greatest Gets More axiom. Using this axiom it can be shown that the properties of some inequality measures depend on whether there are negative incomes...