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Reinterpreting the mutual fund theorem: the risk portfolio as a tactical overlay
(2017)
The Mutual Fund Theorem is an elegant way of describing how investors with different attitudes towards risk should construct their portfolios. It is, however, often misinterpreted. This paper revisits the topic by defining ...
On the sample mean of locally stationary long-memory processes
(ELSEVIER SCIENCE BV, 2010)
Some asymptotic statistical properties of the sample mean of a class locally stationary long-memory process are studied in this paper. Conditions for consistency are investigated and precise convergence rates of the variance ...
Código MDS com a métrica POSETMDS codes with the poset metric
(Universidade Federal de ViçosaBRÁlgebra; Análise; Geometria e Topologia; Matemática AplicadaMestrado em MatemáticaUFV, 2015)
On the point process of near-record values
(Springer, 2015)
Let be a sequence of independent and identically distributed random variables, with common absolutely continuous distribution . An observation is a near-record if , where and is a parameter. We analyze the point process ...
A Hierarchical Model for Aggregated Functional Data
(Amer Statistical AssocAlexandriaEUA, 2013)
Solving the mean–variance customer portfolio in Markov chains using iterated quadratic/Lagrange programming: A credit-card customer limits approach
(ELSEVIER, 2015-03-09)
In this paper we present a new mean–variance customer portfolio optimization algorithm for a class of ergodic finite controllable Markov chains. In order to have a realistic result we propose an iterated two-step method ...
Central limit theorem
(Open Source Physics(OSP)., 2016)
Random regression models using Legendre polynomials or linear splines for test-day milk yield of dairy Gyr (Bos indicus) cattle
(2013-01-01)
Studies investigating the use of random regression models for genetic evaluation of milk production in Zebu cattle are scarce. In this study, 59,744 test-day milk yield records from 7,810 first lactations of purebred dairy ...