We study the estimation of optimal portfolios for a Reserve Fund with an end-of-period target and when the returns of the assets that constitute the Reserve Fund portfolio follow two specifications. In the first one, assets are split into short memory (bonds) and long memory (equity), and the...

We establish the asymptotic normality of marginal sample quantiles for S-mixing vector stationary processes. S-mixing is a recently introduced and widely applicable notion of dependence. Results of some Monte Carlo simulations are given ; Establecemos la normalidad asintótica de cuantiles...

We propose a quantile--based method to estimate the parameters (i.e. locations, dispersions, co--dispersions and the tail index) of an elliptical distribution, and a battery of tests for model adequacy. The method is suitable for vast dimensions since the estimators for the location vector and...

We establish the asymptotic normality of marginal sample quantiles for S-mixing vector stationary processes. S-mixing is a recently introduced and widely applicable notion of dependence. Results of some Monte Carlo simulations are given

We establish the asymptotic normality of marginal sample quantiles for S–mixing vector stationary processes. S–mixing is a recently introduced and widely applicable notion of dependence. Results of some Monte Carlo simulations are given.

We establish the asymptotic normality of marginal sample quantiles for S-mixing vector stationary processes. S-mixing is a recently introduced and widely applicable notion of dependence. Results of some Monte Carlo simulations are given

We estimate the parameters of an elliptical distribution by means of a multivariate extension of the Method of Simulated Quantiles (MSQ) of Dominicy and Veredas (2010). The multivariate extension entails the challenge of the construction of a function of quantiles that is informative about the...

We establish the asymptotic normality of marginal sample quantiles for S-mixing vector stationary processes. S-mixing is a recently introduced and widely applicable notion of dependence. Results of some Monte Carlo simulations are given.