Portfolio selection with stable distributed returns
This paper analyzes and discusses the stable distributional approach in portfolio choice theory. We consider different hypotheses of portfolio selection with stable distributed returns and, more generally, with heavy-tailed distributed returns. In particular, we examine empirical differences among the optimal allocations obtained with the Gaussian and the stable non-Gaussian distributional assumption for the financial returns. Finally, we compare performances among stable multivariate models. Copyright Springer-Verlag Berlin Heidelberg 2002
Year of publication: |
2002
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Authors: | Ortobelli, Sergio ; Huber, Isabella ; Schwartz, Eduardo |
Published in: |
Mathematical Methods of Operations Research. - Springer. - Vol. 55.2002, 2, p. 265-300
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Publisher: |
Springer |
Saved in:
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