Publications des institutions partenaires
Statistical Inference for Lorenz Curves with Censored Data
Lorenz curves and associated tools for ranking income distributions are commonly estimated on the assumption that full, unbiased samples are available. However it is common to ¯nd income and wealth distributions that are routinely censored or trimmed. We derive the sampling distribution for a key family of statistics in the case where data have been modified in this fashion.
Institution partenaire
English / 01/01/1998
Time Series Models in Intertemporal Portfolio Optimisation
Institution partenaire
English / 01/01/1998
A Stochastic Optimization Model for the Investment of Savings Account Deposits
A bank's financial management faces various sources of uncertainty when funds from savings account deposits are invested in the marketplace. Future interest rates are unknown and customers are allowed to withdraw their deposits at any point in time. The objective is to find a portfolio of fixed income instruments that maximizes the bank's interest surplus from the...
Institution partenaire
English / 03/09/1997
Linear Duality, Term Structure, and Valuation
The paper's objective is to interpret no-arbitrage conditions by means of linear programming. Basic statements about the term structure of a market with frictions can be derived using the relation of primal and associated dual programs. The duality concept applies mutatis mutandis to the valuation of cash flows from an individual investor's point of view.
Institution partenaire
English / 03/09/1997
Resistant Modelling of Income Distributions and Inequality Measures
We review the use and the interpretation of some robustness concepts and techniques in some economic applications. We focus on estimation techniques in income distribution analysis and we discuss the reliability of inequality measures.
Institution partenaire
English / 01/01/1997
Asset & Liability Management
Über Herausforderungen und Potentiale im ALM heute, das Konzept der stochastischen Optimierung und die gewonnenen Erfahrungen innerhalb einer Kooperation mit einer schweizerischen Grossbank.
Institution partenaire
Deutsch / 01/01/1997
Approximations of Profit-and-Loss Distributions (Management Version)
The incorporation of single-factor interest rate models within the stochastic programming methodology is investigated and applied to multiperiod investment. Barycentric approximation is used for discretizing the stochastic factors and for generating scenario trees which take the various term structure movements into account. It is shown that employing the Vasicek model for the...
Institution partenaire
English / 01/01/1997
Approximations of Profit-and-Loss Distributions (Part II)
working report - Former investigation (Approximation of Profit-and-Loss Distributions, Part I) introduces the application of the barycentric approximation methodology for evaluating profit-and-loss distributions numerically. Although, convergence of the quantiles is ensured by the weak convergence of the discrete measures, as proclaimed in Part I, recent numerical results have...
Institution partenaire
English / 01/01/1997
Mean-Variance Analysis in a Multiperiod Setting
Similar to the classical Markowitz approach it is possible to apply a mean-variance criterion to a multiperiod setting to obtain efficient portfolios. To represent the stochastic dynamic characteristics necessary for modelling returns a process of asset returns is discretized with respect to time and space and summarized in a scenario tree. The resulting optimization problem is...
Institution partenaire
English / 01/01/1997
Refinement Issues in Stochastic Multistage Linear Programming
Institution partenaire
English / 17/06/1996
Modelling Income Distribution in Spain: A Robust Parametric Approach
This paper presents a robust estimation of two income distribution models using Spanish data for the period 1990-91 under three different concepts of income. The effect on the estimates of the Theil index due to the choice of the definition of income and of the estimation method is also analysed.
Institution partenaire
English / 01/01/1996
Stochastic Programming Tutorial for Financial Decision Making (The Saddle Property of Optimal Profits)
The complexity of the interaction between time and uncertainty made finance models to one of the most important applications of probability theory and optimization theory. Stochastic programming combines those two fields with the intention to design methodologies for planning under uncertainty. This tutorial consists of two parts, written for practitioners, in particular financial...
Institution partenaire
English / 01/01/1996
Are Grouped Data Robustly Fitted?
In this paper we compute the IF of a general class of estimators for grouped data, namely the class of MPE. We find that this IF can be large although it is bounded. Therefore, we propose a more general class of estimators, the MGP-estimators, which include the class of estimators based on the power divergence statistic and permits to define robust estimators. By analogy with Hampel...
Institution partenaire
English / 01/01/1995
Choosing between two parametric models robustly
In this paper we propose a robust version of Cox-type test statistics for the choice between two non-nested hypotheses. We first show that the influence of small amounts of contamination in the data on the test decision can be very large. Secondly we build a robust test statistic by using the results on robust parametric tests available in the literature and show that the level of...
Institution partenaire
English / 01/01/1995
Robustness Properties of Poverty Indices
Drawing on recent work concerning the statistical robustness of inequality statistics we examine the sensitivity of poverty indices to data contamination using the concept of the influence function. We show that poverty and inequality indices have fundamentally different robustness properties, and demonstrate that an important commonly used subclass of poverty measures will be robust...
Institution partenaire
English / 01/01/1994
Robust Estimation of Personal Income Distribution Models
Statistical problems in modelling personal income distributions include estimation procedures, testing, and model choice. Typically, the parameters of a given model are estimated by classical procedures such as maximum likelihood and leastsquares estimators. Unfortunately, the classical methods are very sensitive to model deviations such as gross errors in the data, grouping effects...
Institution partenaire
English / 01/01/1993
Robust methods for personal income distribution models
In the present thesis, robust statistical techniques are applied and developed for the economic problem of the analysis of personal income distributions and inequality measures. We follow the approach based on influence functions in order to develop robust estimators for the parametric models describing personal income distributions when the data are censored and when they are...
Institution partenaire
English / 01/01/1993
Robustness Properties of Inequality Measures: The Influence Function and the Principle of Transfers
Inequality measures are often used fot summarise information about empirical income distributions. However, the resulting picture of the distribution and of changes in the distribution can be severely distorted if the data are contaminated. The nature of this distortion will in general depend upon the underlying properties of the inequality measure. We investigate this issue...
Institution partenaire
English / 01/01/1993
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