Statistical Works
Clinical Works
Mathematical Statistics
Economics
Biology and Medicine
In many trials and experiments, subjects are not only observed once but multiple times, resulting in a cluster of possibly correlated observations (e.g., brain regions per patient). Observations often do not fulfill model assumptions of mixed models and require the use of nonparametric methods. In this article, we develop and present a purely nonparametric rank-based procedure that flexibly allows the unbiased and consistent estimation of the Wilcoxon–Mann–Whitney effect P(X < Y) + 0.5 P(X = Y) in clustered data designs. Compared with existing methods, we allow flexible weights to be used in effect estimation. Additionally, we develop global and multiple contrast test procedures to test null hypotheses formulated regarding the generalized Mann–Whitney effects and for the computation of range-preserving simultaneous confidence intervals in a unified way. Extensive simulation studies show that these methods control the type-I error rate well and have reasonable power to detect alternatives in various situations.
The drastic growth of the cryptocurrencies market capitalization boosts investigation of their diversification benefits in portfolio construction. In this paper with a set of classical and modern measurement tools, we assess the out-of-sample performance of eight portfolio allocation strategies relative to the naive 1/N rule applied to traditional and crypto-assets investment universe.
Evaluated strategies include a range from classical Markowitz rule to the recently introduced LIBRO approach (Trimborn et al. in Journal of Financial Econometrics 1–27, 2019). Furthermore, we also compare three extensions for strategies with respect to input estimators applied.
The results show that in the presence of alternative assets, such as cryptocurrencies, mean–variance strategies underperform the benchmark portfolio. In contrast, CVaR optimization tends to outperform the benchmark as well as geometric optimization, although we find a strong dependence of the former’s success on trading costs.
Furthermore, we find evidence that liquidity-bounded strategies tend to perform very well. Thus, our findings underscore the non-normal distribution of returns and the necessity to control for liquidity constraints at alternative asset markets.