We investigate the relative efficiency of the empirical “tail median” vs. ”tail mean” as estimators of location under random sampling from the exponential power distribution (EPD). By considering appropriate probabilities so that the quantile of the untruncated EPD (population tail median) and mean of the left-truncated EPD (population tail mean) coincide, limiting results are established conce...

We provide a new characterization of mean-variance hedging strategies in a general semimartingale market. The key point is the introduction of a new probability measure P ⋆ which turns the dynamic asset allocation problem into a myopic one. The minimal martingale measure relative to P ⋆ coincides with the variance-optimal martin-gale measure relative to the original probability measure P .

This paper introduces and studies a unique probability distribution. The maximum likelihood estimation, the ordinary least squares, weighted Anderson–Darling estimation methods all take into account number of financial risk indicators, including value-at-risk, tail-value-at-risk, tail variance, mean-variance, mean excess loss function. These four approaches were used in simulation study an appl...

In this article we provide some nonnegative and positive estimators of the mean squared errors(MSEs) for shrinkage estimators of multivariate normal means. Proposed estimators are shown to improve on the uniformly minimum variance unbiased estimator(UMVUE) under a quadratic loss criterion. A similar improvement is also obtained for the estimators of the MSE matrices for shrinkage estimators. We...