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Portfolio selection with heavy tails [PDF]
Journal of Empirical Finance, 2004 Consider the portfolio problem of choosing the mix between stocks and bonds under a downside risk constraint. Typically stock returns exhibit fatter tails than bonds corresponding to their greater downside risk. Downside risk criteria like the safety first criterion therefore often select corner solutions in the sense of a bonds only portfolio. This is
Namwon Hyung, Casper G. de Vries
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Power-law distributions in nonequilibrium open quantum systems [PDF]
QuantumPower-law probability distributions are widely used to model extreme statistical events in complex systems, with applications to a vast array of natural phenomena ranging from earthquakes to stock market crashes to pandemics. We show that analogous heavy
Wai-Keong Mok
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A Power Maxwell Distribution with Heavy Tails and Applications
Mathematics, 2020 In this paper we introduce a distribution which is an extension of the power Maxwell distribution. This new distribution is constructed based on the quotient of two independent random variables, the distributions of which are the power Maxwell ...
Francisco A. Segovia +3 more
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The multivariate asymmetric slash Laplace distribution and its applications
Statistica, 2013 We have introduced a multivariate asymmetric-slash Laplace distribution, a flexible distribution that can take skewness and heavy tails into account. This distribution is useful in simulation studies where it can introduce distributional challenges in ...
Bindu Punathumparambath
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The Fundamentals of Heavy Tails
, 2022 Heavy tails -extreme events or values more common than expected -emerge everywhere: the economy, natural events, and social and information networks are just a few examples. Yet after decades of progress, they are still treated as mysterious, surprising,
Wierman, A. (Adam) +2 more
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Estimating the tail conditional expectation of Walmart stock data
Croatian Operational Research Review, 2020 Stable distribution, also known as Lévy stable distribution, which is a rich class of heavy-tailed distributions can capture asymmetry and heavy tails observed in financial data.
Hakim Ouadjed, Tawfiq Fawzi Mami
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Study of Coded ALOHA with Multi-User Detection under Heavy-Tailed and Correlated Arrivals
Future Internet, 2023 In this paper, we study via simulation the performance of irregular repetition slotted ALOHA under multi-packet detection and different patterns of the load process.
María E. Sousa-Vieira +1 more
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The Heavy-Tail Phenomenon in SGD
CoRR, 2020 In recent years, various notions of capacity and complexity have been proposed for characterizing the generalization properties of stochastic gradient descent (SGD) in deep learning. Some of the popular notions that correlate well with the performance on unseen data are (i) the `flatness' of the local minimum found by SGD, which is related to the ...
Gurbuzbalaban, Mert +2 more
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Effects of Cooking Methods on Heavy Metal Levels in Crayfish Tail and Cooking Juice
Shipin gongye ke-jiIn order to explore the accumulation of heavy metals in crayfish cooking juice and its effect on the level of heavy metals in edible parts (crayfish tail) under different cooking methods.
Jing LI +3 more
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Similarity of Symbol Frequency Distributions with Heavy Tails
Physical Review X, 2016 Quantifying the similarity between symbolic sequences is a traditional problem in information theory which requires comparing the frequencies of symbols in different sequences.
Martin Gerlach +2 more
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