The Paretian Heritage∗
نویسنده
چکیده
Tommissen, and, most particularly, Paul Samuelson, for valuable comments on the earlier draft; they are, of course, not be held responsible for any defects that remain.
منابع مشابه
A New Class of Bayesian Estimators in Paretian Excess-of-loss Reinsurance
For estimating the shape parameter of Paretian excess claims, certain Bayesian estimators, which are closely related to the Hill estimator, have been suggested in the insurance literature. It turns out that these estimators may have a poor performance just as the Hill estimator if a certain location parameter is unequal to zero in the Paretian modeling. In an alternative formulation this means ...
متن کاملThe authors thank the participants at the Deutsche Bundesbank Conference "Heavy Tails and stable Paretian Distributions in Finance and Macroeconomics" in celebration of the 80-th birthday of Professor
This paper assesses stable Paretian models in portfolio theory and risk management. We describe investor’s optimal choices under the assumption of non-Gaussian distributed equity returns in the domain of attraction of a stable law. In particular, we examine dynamic portfolio strategies with and without transaction costs in order to compare the forecasting power of discrete-time optimal allocati...
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Random populations represented by stochastically scattered collections of real-valued points are abundant across many fields of science. Fractality, in the context of random populations, is conventionally associated with a Paretian distribution of the population’s values. Using a Poissonian approach to the modeling of random populations, we introduce a definition of ‘‘Poissonian fractality’’ ba...
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Stable distributions have heavy tails that are asymptotically Paretian. Accurate computations of stable densities and distribution functions are used to analyze when the Paretian tail actually appears. Implications for estimation procedures are discussed. In addition to numerically locating the mode of a general stable distribution, analytic and numeric results are given for the mode. Extensive...
متن کاملBore1 measurable selections of Paretian utility functions
We show that there is a Bore1 measurable selection of Paretian utilities in ‘markets with a continuum of traders’. Theorem: Let T and X be Polish spaces, R a Bore1 subset of T x X xX, and B={(t,x): (t,x,x)ER}. Suppose that for each t, R,={(x,y): (t,x,y)ER} is a preference order on B, = {x: (t,x) EB). Then there is a Bore1 measurable function f: B-$0, l] such that for all t E IT; f,: B,+[O, I] i...
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تاریخ انتشار 1976