Parameter uncertainty has been a recurrent subject treated in the financial literature. The normative portfolio selection approach considers two main kinds of decision rules: expected expected utility maximization and mean-variance criterion. Assuming that the mean-variance criterion is a good...

This paper proposes a novel method of global optimization based on cuckoo-host co-evaluation. It also develops a Fortran-77 code for the algorithm. The algorithm has been tested on 96 benchmark functions (of which the results of 30 relatively harder problems have been reported). The proposed...

The Brownian correlation has been recently introduced by Székely et al. (2007; 2009), which has an attractive property that when it is zero, it guarantees independence. This paper investigates into the effects and advantages, if any, of replacement of the Pearsonian coefficient of correlation (r)...

This research represents some thoughts on the accurate characterization of the stock market indexes trends in the conditions of the nonlinear capital flows at the stock exchanges in the global capital markets. We make our original research proposal that the nonlinear capital flows in the process...

The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...

The seasonal stability tests of Canova & Hansen (1995) (CH) provide a method complementary to that of Hylleberg et al. (1990) for testing for seasonal unit roots. But the distribution of the CH tests are unknown in small samples. We present a method to numerically compute critical values and...

This study aims to describe the size distribution of Portuguese firms, as measured by annual sales and total assets, between 2006 and 2012, giving an economic interpretation for the evolution of the distribution along the time. Three distributions are fitted to data: the lognormal, the Pareto...

In this paper, we show how to estimate the parameters of stochastic volatility models using Bayesian estimation and Markov chain Monte Carlo (MCMC) simulations through the approximation of the a-posteriori distribution of parameters. Simulated independent draws are made possible by using...

This paper describes reweight, a Stata module to reweight survey data to external aggregate totals.

We provide a fast algorithm for calculating the fractional difference of a time series. In standard implementations, the calculation speed (number of arithmetic operations) is of order T^2, where T is the length of the time series. Our algorithm allows calculation speed of order T log(T). For...