A noise suppressing filter design for reducing deconvolution error of both-directions downward sloped asymmeric RTN long-tail distributions

2015 ◽  
Author(s):  
Hiroyuki Yamauchi ◽  
Worawit Somha
Keyword(s):  
Filter Design ◽  
Long Tail ◽  
Tail Distributions

scholarly journals Long-Tail Distributions And Total Returns On Risk-Based Investment Products

2014 ◽  
Vol 30 (6) ◽  
pp. 1183
Author(s):  
Albert E. DePrince, Jr. ◽  
A. Eugene DePrince III
Keyword(s):  
Risk Measure ◽  
Retirement Plans ◽  
Long Tail ◽  
Tail Distribution ◽  
Target Date ◽  
Target Date Funds ◽  
Asset Classes ◽  
Tail Events ◽  
One Year ◽  
Tail Distributions

<p>Use of target date funds (TDFs) in retirement plans increased in popularity following the 2007-2008 financial crisis. However, some argued that TDFs do not provide an acceptable level of protection against market downturns and long-tail events. This study assesses the ability of TDFs to deal with long-tail events. It builds a system of equations for seven asset classes that are used to build four hypothetical TDFs, and compares simulated total returns for four hypothetical TDFs over a 50-year horizon, where the stochastic terms for each of the underlying asset classes is based on the normal distribution and a long-tail distributions (the Laplace distribution). Simulations are repeated 2000 times. Total returns for four TDFs are calculated over non-overlapping 1-, 2- 3-, and 5-year horizons over the 50-year span for the 2000 simulations. Results show that about half the time the risk measure for the long-tail distribution are wider than the normal, and about half the time the opposite holds. It seems that the processes of asset diversification along with calculating returns over horizons of at least one year mitigates effects of long-tail characteristics. Even so, results do not bode well for those nearing retirement. Negative returns over 1- and 2-year investment horizons are possible 17% of the time for a conservative allocation over a 50-year period.</p>

Robust and alternative estimators for “better” estimates for expenditures and other “long tail” distributions

2008 ◽  
Vol 29 (4) ◽  
pp. 795-806 ◽  
Author(s):  
Tzung-Cheng Huan ◽  
Jay Beaman ◽  
Liang-Han Chang ◽  
Shih-Yun Hsu
Keyword(s):  
Long Tail ◽  
Tail Distributions
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