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.
(2002). Portfolio selection with stable distributed returns [journal article - articolo]. In MATHEMATICAL METHODS OF OPERATIONS RESEARCH. Retrieved from http://hdl.handle.net/10446/203404
Portfolio selection with stable distributed returns
Ortobelli Lozza, Sergio;
2002-01-01
Abstract
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.File | Dimensione del file | Formato | |
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