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Proportionate vs disproportionate distribution of wealth of two individuals in a tempered Paretian ensemble
Pareto law Paretian ensemble Truncated wealth distribution
2011/7/7
We study the distribution P(\omega) of the random variable \omega = x_1/(x_1 + x_2), where x_1 and x_2 are the wealths of two individuals selected at random from the same tempered Paretian ensemble ch...
Risk,VaR,CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution
VaR CVaR Portfolio Optimization VaR Optimization CVaR Optimization Optimisation
2011/3/25
We show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk properties of ...
Stochastic Approximation and Newton's Estimate of a Mixing Distribution
Stochastic approximation empirical Bayes mixture models Lyapunov functions
2011/3/22
Many statistical problems involve mixture models and the need for computationally efficient methods to estimate the mixing distribution has increased dramatically in recent years. Newton [Sankhya Ser....