In this paper we show how the Walsh fun ctions can be used to com pute schema var iance and rela te schema vari an ce to deception . We also calcula te op erator-adj usted fitness for Walsh funct ions.

This paper addresses the problem of dynamic asset allocation under a bounded shortfall risk in a market composed of three assets: cash, stocks and a zero coupon bond. The dynamics of the instantaneous short rates is driven by a Hull and White model. In this setting, we determine and compare optimal investment strategies maximizing the CRRA utility of terminal wealth with and without value at ri...

Lepidozia stuhlmannii, L. pearsonii, Atrichum tenellum, Bryum lanatum, Campylopus subulatus, Ceratodon stenocarpus, Polytrichum commune var. humile and Thuidium delicatulum are reported as new to the Azores. The record of Sphagnum pylaisii from Terceira is referred to a monoclade expression of S. denticulatum. The presence of the North American Leucobryum albidum on the Azores is confirmed and ...

In this paper, following the generalization of Delta Normal VaR to Delta Mixture Elliptic VaR in Sadefo-Kamdem [3], we give and explicit formula to estimate linear VaR and ES when the risk factors changes with the mixture of t-Student distributions. In particular, we give rise to Delta-Mixture-Student VaR and the Delta-Mixture-Elliptic ES.

M C S THE definit ion of the different sectors of the indus t r ia l structure of an economy has to be baaed on a p ragmat ic appraisal of the preva i l ing conditions, w i t h due al lowance for adjustments and var ia t ions . if it is to be economical ly meaningful . Such an approach is needed a l l the more in the context of a g r o w i n g economy, fast developing as a result of conscious a...

We describe a numerical procedure to obtain bounds on the distribution function of a sum of n dependent risks having fixed marginals. With respect to the existing literature, our method provides improved bounds and can be applied also to large non-homogeneous portfolios of risks. As an application, we compute the VaR-based minimum capital requirement for a portfolio of operational risk losses.

Appendix A Deriving Equations for M+ME Biases and for t-statistic Overestimations Determining the Impact of VIF Bias on the t-statistic Consider first the situation where we have no measurement error. Using standard equations for the estimated standard error of β2 from any regression textbook, an unbiased and consistent estimate of the standard error is s = Σεi / (N – K) (A1-1) and the estimate...

Value at Risk (VaR) is a relatively new methodology used to quantify risk exposure. Although widely used in the financial and energy sectors of the economy, VaR has yet to gain the same acceptance in the field of agriculture. This thesis provides an introduction to Value at Risk and explains both its strengths and weaknesses. Empirical