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: | Ortobelli S., Huber I., Schwartz E. |
Keywords: | portfolio management |
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.