The Lorenz manifold is an intriguing two-dimensional surface that illustrates chaotic dynamics in the well-known Lorenz system. While it is not possible to find the Lorenz manifold as an explicit analytic solution, we have developed a method for calculating a numerical approximation that builds the surface up as successive geodesic level sets. The resulting mesh approximation can be read as cro...

In which representation is speech most sparse? Time-scale? Time-frequency? Which window generator and length should be used to create the sparsest decomposition? To answer these questions, we propose the Gini index, which is twice the area between the Lorenz curve and the 45 degree line, as a measure of signal sparsity. The Gini index, introduced in 1912, is one of the most common measures of i...

Partial moments are extensively used in actuarial science for the analysis of risks. Since the first order partial moments provide the expected loss in a stop-loss treaty with infinite cover as a function of priority, it is referred as the stop-loss transform. In the present work, we discuss distributional and geometric properties of the first and second order partial moments defined in terms o...

I investigate the mechanisms through which idiosyncratic investment risk generates a fat tail of the wealth distribution. I set up a continuous time OLG model with a bequest motive and portfolio selection to show that idiosyncratic investment risk generates a Pareto tail in the wealth distribution. I calibrate my model to the U.S. economy and show that the wealth distribution in the simulated e...

This paper proposes a fully nonparametric procedure to evaluate the effect of a counterfactual change in the distribution of some covariates on the unconditional distribution of an outcome variable of interest. In contrast to other methods, we do not restrict attention to the effect on the mean. In particular, our method can be used to conduct inference on the change of the distribution functio...

This work discusses investment funds in Croatia, with a particular emphasis on openend investment funds. After a short review of the development of the funds, the perception of the funds is analysed, as are the trends in total assets and in average yields. The degree of concentration of open-end investment funds is shown with statistical measures of concentration (the Gini Coefficient, the Lore...