Portfolio selection with stable distributed returns

Portfolio selection with stable distributed returns

0.00 Avg rating0 Votes
Article ID: iaor20031009
Country: Germany
Volume: 55
Issue: 2
Start Page Number: 265
End Page Number: 300
Publication Date: Jan 2002
Journal: Mathematical Methods of Operations Research (Heidelberg)
Authors: , ,
Keywords: portfolio management
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.

Reviews

Required fields are marked *. Your email address will not be published.