The number of securities giving the maximum return in the presence of transaction costs

An essential element of any realistic investment portfolio selection is the consideration of transaction costs. Our purpose, in this paper, is to determine the maximum return and the corresponding number of securities to buy giving such return, whenever practical constraints features related to budget, buy-in thresholds, and transaction costs are taken into consideration. Dealing with the portfolio selection and optimization problem in the point of view of individual investors, we will arrive to get an analytic result, leading to a new and simple alternative solution to heuristic algorithms. Moreover, this result can be considered as another approach to integer optimization.     

On the inefficiency of the restricted maximum likelihood

The restricted maximum likelihood is preferred by many to the full maximum likelihood for estimation with variance component and other random coefficient models, because the variance estimator is unbiased. It is shown that this unbiasedness is accompanied in some balanced designs by an inflation of the mean squared error. An estimator of the cluster‐level variance that is uniformly more efficient than the full maximum likelihood is derived. Estimators of the variance ratio are also studied.     

On preferences over subsets and the lattice structure of stable matchings

This paper studies the structure of stable multipartner matchings in two-sided markets where choice functions are quotafilling in the sense that they satisfy the substitutability axiom and, in addition, fill a quota whenever possible. It is shown that (i) the set of stable matchings is a lattice under the common revealed preference orderings of all agents on the same side, (ii) the supremum (infimum) operation of the lattice for each side consists componentwise of the join (meet) operation in the revealed preference ordering of the agents on that side, and (iii) the lattice has the polarity, distributivity, complementariness and full-quota properties. Received: 5 March 1999 / Accepted: 12 May 2000     

On the expectation of the maximum for sums of independent random variables

Metrika - It is well-known that for a sequenceX 1,X 2, ... of i.i.d. random variables with mean zero $$E\mathop {\sup }\limits_n ((S_n - an)^ + )^\gamma< \infty if and only if E (X_1^ + )^{1...     

关于保证担保的若干问题的探讨

由于担保法规定的比例原则,担保法立法当时的立法原则和立法技术上也存在着缺陷和不成熟之处,使得在贯彻执行担保法的过程中出现了许多新情况、新问题,本文主要就与保证担保有关的若干问题如保证期间、保证合同无效时的赔偿责任、成立新的保证合同的认定等,结合担保法、有关担保法的司法解释及司法实践作一些探讨。     

On maximum likelihood estimation of stochastic frontier production models

The iterative algorithm suggested by Greene (1982) for the estimation of stochastic frontier production models does not necessarily solve the likelihood equations. Corrected iterative algorithms which generalize Fair's method (1977) and solve the likelihood equations are derived. These algorithms are compared with the Newton method in an empirical case. The Newton method is more time saving than these algorithms.     

On the number of categories in an ordered regression model

We show that there is no formal statistical testing method to support combining categories in a standard ordered regression model. We discuss practical implications of this result.     

On the optimal number of scale points in graded paired comparisons

In market research, it is common practice to measure individuals’ brand or product preference through graded paired comparisons (GPCs). One important decision concerns the (odd) number of scale points (e.g., five, seven, nine, or eleven) that has to be assigned to either brands or products in each pair. Using data from an experiment with 122 students, we assessed the extent to which GPCs with a higher number of scale points (requiring more cognitive effort) really outperform GPCs with a smaller number of scale points (requiring less cognitive effort). Our data analyses have shown that one may reduce the (odd) number of scale points from eleven to nine or seven, depending on what minor compromises one is willing to make. The detailed psychometric results presented in this paper are useful to applied researchers as they help them in making well-informed decisions on the number of scale points in a GPC task.     

Distribution of the maximum of the number of impulses at any instant in a type II counter in a given interval of time

Summary Here we have considered a type II counter in which the inter-arrival times of particles are independent identically distributed random variables following a given distribution. Each particle is assumed to give rise to an impulse and the state of the counter at an instant is defined by the number of impulses present at that instant. Two variations of the model are taken into account depending upon whether the system starts initially with an impulse or not. We have obtained integral equations for the distribution of the maximum of the number of impulses at any instant in a given interval of time for the two models considered. Special cases where the inter-arrival times and the duration of the impulses follow the exponential distribution have also been dealt with. Dedicated to Professor V.Ganapathy Iyer on the occasion of his sixty first birth day.     

On the optimum number of levels in the one-way model with random effects

The optimal number of levels is studied for the one-way random model with normally distributed effects. The optimum criteria used are based on the variances of the traditional analysis of variance estimators of the variance components. Exact solutions are compared to earlier results based on lower bounds of the sampling variances. Comparisons are also made to the large-sample variances of the estimates based on restricted maximum likelihood. Received February 2002     

试论我国职业经理人制度及其供求均衡的条件

职业经理人是经济发展到一定时期的产物.随着我国经济体制改革的不断深化,我国市场经济的不断发展,以及国际国内市场竞争格局的不断变化,职业经理人在经济发展过程中的重要作用日益凸现,我国急需建立职业经理人制度,培养一大批职业经理人,完善职业经理人市场,以实现职业经理人供求均衡.     

On generalized maximum likelihood estimation in the proportional hazards model with partially informative censoring

The generalized maximum likelihood estimator (GMLE) is derived and some of its variants are compared with the partial Abdushukurov-Cheng-Lin (PACL) and Kaplan-Meier (KM) estimators under the proportional hazards model with partially informative censoring. A comparison of small sample properties is conducted based on a simulation study. The results show that the GMLEs perform competitively with the PACL estimator.Acknowledgements.The authors are very much thankful to the referee for perceptive and illuminating comments. A substantial credit goes to the referee for an overall improvement of the paper.     

On the existence of maximum likelihood estimates in random effects models for clustered multivariate binary data

We consider a class of random effects models for clustered multivariate binary data based on the threshold crossing technique of a latent random vector. Components of this latent vector are assumed to have a Laird–Ware structure. However, in place of their Gaussian assumptions, any specified class of multivariate distribution is allowed for the random effects, and the error vector is allowed to have any strictly positive pdf. A well known member of this class of models is the multivariate probit model with random effects. We investigate sufficient and necessary conditions for the existence of maximum likelihood estimates for the location and the association parameters. Implications of our results are illustrated through some hypothetical examples.     

A note on the balancing factors of gravity models

Application of the production constrained gravity-type spatial interaction model generally incorporates a “balancing of attractions” procedure to yield the fully constrained condition. Two techniques for balancing a singly constrained gravity model are compared in this note. These are the Federal Highways Administration adjusted attraction factor method and the Furness column and row balancing procedure. This comparison shows firstly that the two techniques are identical, and secondly that the balancing procedure results in an arbitrary distortion of the calibrated distribution function. Furthermore, some empirical results show that the balancing procedure does not necessarily improve the model's predictions on a cell by cell basis. These results indicate that balancing may be an unnecessary as well as undesirable step in the application of the singly constrained gravity model.     

On maximum likelihood prediction based on Type II doubly censored exponential data

In this paper, the maximum likelihood predictor (MLP) of the kth ordered observation, t _k, in a sample of size n from a two-parameter exponential distribution as well as the predictive maximum likelihood estimators (PMLE's) of the location and scale parameters, θ and β, based on the observed values t _r, …, t _s (1≤r≤s<k≤n), are obtained in closed forms, contrary to the belief they cannot be so expressed. When θ is known, however, the PMLE of β and MLP of t _k do not admit explicit expressions. It is shown here that they exist and are unique; sharp lower and upper bounds are also provided. The derived predictors and estimators are reasonable and also have good asymptotic properties. As applications, the total duration time in a life test and the failure time of a k-out-of-n system may be predicted. Finally, an illustrative example is included. Received: August 1999