Continuous time portfolio selection under conditional capital at risk.
Dmitrasinovic-Vidovic, Gordana, Lari-Lavassani, Ali, Li, Xun, Ware, Antony (2010)
Journal of Probability and Statistics
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Dmitrasinovic-Vidovic, Gordana, Lari-Lavassani, Ali, Li, Xun, Ware, Antony (2010)
Journal of Probability and Statistics
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Hürlimann, Werner (2003)
Journal of Applied Mathematics
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Tomáš Cipra (1978)
Časopis pro pěstování matematiky
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Mihoc, Ion, Fătu, Cristina I. (2003)
Acta Universitatis Apulensis. Mathematics - Informatics
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Hürlimann, Werner (2004)
International Journal of Mathematics and Mathematical Sciences
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Om Parkash (1997)
Matematički Vesnik
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Andrew Rukhin (1997)
Applicationes Mathematicae
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The so-called ϕ-divergence is an important characteristic describing "dissimilarity" of two probability distributions. Many traditional measures of separation used in mathematical statistics and information theory, some of which are mentioned in the note, correspond to particular choices of this divergence. An upper bound on a ϕ-divergence between two probability distributions is derived when the likelihood ratio is bounded. The usefulness of this sharp bound is illustrated by several...
Pinelis, Iosif (2009)
Electronic Journal of Probability [electronic only]
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Alejandro Balbás (2007)
RACSAM
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Chen, Fen-Ying (2010)
Journal of Probability and Statistics
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Nooshin Hakamipour, Sadegh Rezaei, Saralees Nadarajah (2015)
Kybernetika
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Many lifetime distributions are motivated only by mathematical interest. Here, eight new families of distributions are introduced. These distributions are motivated as models for the stress of a system consisting of components working in parallel/series and each component has a fixed number of sub-components working in parallel/series. Mathematical properties and estimation procedures are derived for one of the families of distributions. A real data application shows superior performance...