Theorem 2. If we compare the expected value of DE reported in Equation (4) with the value of the estimator WE in Equation (3), we can notice strong similarities. The main difference is that in DE the sample mean of variable Xi and its probability of being the maximum are computed w.r.t. two independent set of samples, while in WE these two quantities are positively correlated. It follows that W...

This paper provides empirical evidence that firm size, liquidity, and Value-at-Risk (VaR) explain the cross-sectional variation in expected returns, while market beta and total volatility have almost no power to capture the cross-section of expected returns at the firm level. The strong positive relation between average returns and VaR turns out to be robust across different investment horizons...

In the best case using an abstraction hierarchy in problem solving can yield an exponential speed up in search e ciency Such a speed up is predicted by var ious analytical models developed in the literature and e ciency gains of this order have been con rmed empir ically However these models assume that the Down ward Re nement Property DRP holds When this property holds backtracking never need ...

Uncertainty theory is a branch of mathematics based on normality, monotonicity, self-duality, countable subadditivity, and product measure axioms. Different from randomness and fuzziness, uncertainty theory provides a new mathematical model for uncertain phenomena. A key concept to describe uncertain quantity is uncertain variable, and expected value operator provides an average value of uncert...

Abstract The main objective of this study was to examine the relationship between Value at Risk (VaR) and expected returns from 2002 to 2013 in Tehran’s Stock Exchange. In this study parametric value at risk, which considers the distribution of returns as normal and the historical value at risk as abnormal, was used to test the presence of the volatility anomaly in the companies listed i...

Practical reasoning, reasoning about what actions should be chosen, is highly dependent both on the individual values of the agent concerned and on what others choose to do. We discuss how value based argumentation about what to do can be performed without making assumptions about the preferences of the other agents. We then show how expected utility calculations relate to the valuebased argume...

In addition to purely practical values, there are cognitive values which figure in scientific deliberations. One way of introducing cognitive values is to consider the cognitive value that accrues to the act of accepting a hypothesis. Although such values may have a role to play in the matter of theory acceptance, this does not exhaust their significance in scientific decision-making. This pape...