Discover the differences between standard deviation and variance, two essential metrics for investors to assess volatility ...

In most books on time series analysis, estimators of the variance and autocovariance for a stationary process are discussed under the assumption that the process mean is known. Here we illustrate that ...

Sample size calculations for a continuous outcome require specification of the anticipated variance; inaccurate specification can result in an underpowered or overpowered study. For this reason, ...

This paper investigates robust optimization methods for mean-variance portfolio selection problems under the estimation risk in mean returns. We show that with an ellipsoidal uncertainty set based on ...

We propose a numerical optimization approach that can be used to solve portfolio selection problems including several assets and involving objective functions from cumulative prospect theory (CPT).