We study the portfolio optimization problem of maximizing the outperformance probability over a random benchmark through dynamic trading with a fixed initial capital. Under a general incomplete market framework, this stochastic control problem can be formulated as a composite pure hypothesis...

We consider the problem of testing for perfect rankings in ranked set sampling (RSS). By using a new algorithm for computing the probability that specified independent random variables have a particular ordering, we find most powerful rank tests of the null hypothesis of perfect rankings against...

We propose the unified approach to construct the non–informative prior for time–series econometric models that are invariant under some group of transformations. We show that this invariance property characterizes some of the most popular models hence the applicability of the proposed...

The paper presents the problem of identification in parametric models from the algebraic point of view. We argue that it is not just another perspective but the proper one. That is using our approach we can see the very nature of the identification problem, which is slightly different than that...

The maximal invariant forms the basis of a well established theory on hypothesis testing on the covariance structure in linear regression, see Lehman (1997). This paper examines the geometry of the maximal invariant. In particular it derives explicit expressions for both Fisher information and...