On an asymptotic optimality property of play-the-winner and vector-at-a-time samplig

1984 ◽  
Vol 35 (1) ◽  
pp. 92-103
Author(s):  
Elliott Nebenzahl
Keyword(s):  
Asymptotic Optimality ◽  
Optimality Property

scholarly journals Complete subset averaging with many instruments

2020 ◽  
Author(s):  
Seojeong Lee ◽  
Youngki Shin
Keyword(s):  
Demand Function ◽  
Simulation Experiment ◽  
Mean Squared Error ◽  
Asymptotic Optimality ◽  
Weighted Average ◽  
Subset Size ◽  
Extensive Simulation ◽  
Squared Error ◽  
Many Instruments ◽  
Class Of Estimators

Summary We propose a two-stage least squares (2SLS) estimator whose first stage is the equal-weighted average over a complete subset with k instruments among K available, which we call the complete subset averaging (CSA) 2SLS. The approximate mean squared error (MSE) is derived as a function of the subset size k by the Nagar (1959) expansion. The subset size is chosen by minimising the sample counterpart of the approximate MSE. We show that this method achieves asymptotic optimality among the class of estimators with different subset sizes. To deal with averaging over a growing set of irrelevant instruments, we generalise the approximate MSE to find that the optimal k is larger than otherwise. An extensive simulation experiment shows that the CSA-2SLS estimator outperforms the alternative estimators when instruments are correlated. As an empirical illustration, we estimate the logistic demand function in Berry et al. (1995) and find that the CSA-2SLS estimate is better supported by economic theory than are the alternative estimates.

scholarly journals Multilevel Monte Carlo methods and lower–upper bounds in initial margin computations

2020 ◽  
Vol 26 (2) ◽  
pp. 131-161
Author(s):  
Florian Bourgey ◽  
Stefano De Marco ◽  
Emmanuel Gobet ◽  
Alexandre Zhou
Keyword(s):  
Monte Carlo ◽  
Lower Bounds ◽  
Asymptotic Optimality ◽  
Upper Bounds ◽  
Upper And Lower Bounds ◽  
Independent Random Variables ◽  
Outer Function ◽  
Control Problems ◽  
Multilevel Monte Carlo ◽  
Primal Dual

AbstractThe multilevel Monte Carlo (MLMC) method developed by M. B. Giles [Multilevel Monte Carlo path simulation, Oper. Res. 56 2008, 3, 607–617] has a natural application to the evaluation of nested expectations {\mathbb{E}[g(\mathbb{E}[f(X,Y)|X])]}, where {f,g} are functions and {(X,Y)} a couple of independent random variables. Apart from the pricing of American-type derivatives, such computations arise in a large variety of risk valuations (VaR or CVaR of a portfolio, CVA), and in the assessment of margin costs for centrally cleared portfolios. In this work, we focus on the computation of initial margin. We analyze the properties of corresponding MLMC estimators, for which we provide results of asymptotic optimality; at the technical level, we have to deal with limited regularity of the outer function g (which might fail to be everywhere differentiable). Parallel to this, we investigate upper and lower bounds for nested expectations as above, in the spirit of primal-dual algorithms for stochastic control problems.

Asymptotic optimality for distributed spectrum sharing using bargaining solutions

2009 ◽  
Vol 8 (10) ◽  
pp. 5225-5237 ◽  
Author(s):  
J.E. Suris ◽  
L.A. Dasilva ◽  
Zhu Han ◽  
A.B. Mackenzie ◽  
R.S. Komali
Keyword(s):  
Spectrum Sharing ◽  
Asymptotic Optimality ◽  
Bargaining Solutions

A New Optimality Property of the Capon Estimator

2017 ◽  
Vol 24 (11) ◽  
pp. 1706-1708 ◽  
Author(s):  
A. Aubry ◽  
V. Carotenuto ◽  
A. De Maio
Keyword(s):  
Optimality Property

Growth Optimal Investment Strategy: The Impact of Reallocation Frequency and Heavy Tails

2012 ◽  
Vol 13 (2) ◽  
pp. 228-240 ◽  
Author(s):  
G. Bamberg ◽  
A. Neuhierl
Keyword(s):  
Heavy Tails ◽  
Geometric Mean ◽  
Asymptotic Optimality ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Risky Asset ◽  
Optimal Investment Strategy ◽  
Optimality Properties ◽  
Heavy Tailed ◽  
The Impact

Abstract The strategy to maximize the long-term growth rate of final wealth (maximum expected log strategy, maximum geometric mean strategy, Kelly criterion) is based on probability theoretic underpinnings and has asymptotic optimality properties. This article reviews the allocation of wealth in a two-asset economy with one risky asset and a risk-free asset. It is also shown that the optimal fraction to be invested in the risky asset (i) depends on the length of the basic return period and (ii) is lower for heavy-tailed log returns than for light-tailed log returns.

Sign in / Sign up

Export Citation Format

Share Document