The Stable non-Gaussian Asset Allocation: A Comparison with the Classical Gaussian Approach
Year of publication: |
2000-01-01
|
---|---|
Authors: | Tokat, Yesim ; Rachev, Svetlozar T. ; Schwartz, Eduardo |
Institutions: | Department of Economics, University of California-Santa Barbara (UCSB) |
Subject: | dynamic portfolio optimization | stable distribution | scenario |
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