Lothar Späth zum Honorarprofessor in Jena ernannt

Ohne Zusammenfassung     

Internationale Paul-Felix-Lazarsfeld-Professur an der Human- und Sozialwissenschaftlichen Fakultät der Universität Wien eingerichtet

Ohne Zusammenfassung     

Karl Pearson and the Scandinavian School of Statistics

The relationship between Karl Pearson and the Scandinavian statisticians was more of a competitive than a collaborative nature. We describe the leading statisticians and stochasticists of the Scandinavian school, and relate some of their work to the work of Pearson.     

Testing for multivariate volatility functions using minimum volume sets and inverse regression

We propose two new types of nonparametric tests for investigating multivariate regression functions. The tests are based on cumulative sums coupled with either minimum volume sets or inverse regression ideas; involving no multivariate nonparametric regression estimation. The methods proposed facilitate the investigation for different features such as if a multivariate regression function is (i) constant, (ii) of a bathtub shape, and (iii) in a given parametric form. The inference based on those tests may be further enhanced through associated diagnostic plots. Although the potential use of those ideas is much wider, we focus on the inference for multivariate volatility functions in this paper, i.e. we test for (i) heteroscedasticity, (ii) the so-called ‘smiling effect’, and (iii) some parametric volatility models. The asymptotic behavior of the proposed tests is investigated, and practical feasibility is shown via simulation studies. We further illustrate our methods with real financial data.     

Ausweitung der Arzthaftung als Einfallstor für neue Formen der Arzthaftpflichtversicherung?

In a recent case, the Austrian Supreme Court remarkably extended medical liability of a gynaecologist for inadequate information about a possible mental handicap of an unborn child. On this occasion, the paper outlines the modified risk exposure of physicians and analyses a possible impact of case-law on the availability and affordability of liability insurance. It raises the question whether a liability crisis could be possible in Austria and briefly explains the underlying U.S. legal and regulatory framework that led to liability crises in the past. In the U.S., alternative risk transfer by means of Risk Retention Groups (RRGs) has been crucial in improving availability and affordability of liability insurance and to rein in liability crises. The Austrian legal and regulatory framework as it stands now would allow for self insurance solutions like Risk Retention Groups but the economic necessity for alternative solutions to traditional insurance schemes seems to be lacking.     

Optimal asset allocation for a large number of investment opportunities

This paper introduces a stock‐picking algorithm that can be used to perform an optimal asset allocation for a large number of investment opportunities. The allocation scheme is based upon the idea of causal risk. Instead of referring to the volatility of the assets time series, the stock‐picking algorithm determines the risk exposure of the portfolio by concerning the non‐forecastability of the assets. The underlying expected return forecasts are based on time‐delay recurrent error correction neural networks, which utilize the last model error as an auxiliary input to evaluate their own misspecification. We demonstrate the profitability of our stock‐picking approach by constructing portfolios from 68 different assets of the German stock market. It turns out that our approach is superior to a preset benchmark portfolio. Copyright © 2005 John Wiley & Sons, Ltd.