February 2009

An empirical optimal portfolio selection model

  We consider risk arising from changes in the prices of financial assets. We propose a risk measure based on asymptotic power law behaviour for optimal portfolio selection in a single period. We apply this measure to compute explicitly the optimal portfolio when the underlying security prices follow a Weibull distribution. An illustrative example is given.   Key words: Asymptotic power law,...

Author(s):   A. C. Okoroafor and B. O. Osu

February 2009

Reliability equivalence factors for some systems with mixture weibull failure rates

  In this article, the failure rates of the system's components are functions of time t. We study two cases (i) the mixture of two stages of life time distribution with weibull failure rates, (ii) the mixture of two stages failure rates with weibull distribution. The reliability equivalence factors of some systems with identical components are obtained. Two different methods are used to improve the...

Author(s):   A. Mustafa