Portfolio selection with stable distributed returns

DOI10.1007/s001860200182zbMath1052.91053OpenAlexW1981430493MaRDI QIDQ1397060

Isabella Huber, Eduardo S. Schwartz, Sergio Ortobelli

Publication date: 16 July 2003

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860200182

zbMATH Keywords

optimal allocationsstable multivariate models

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Portfolio theory (91G10)

Related Items (8)

Cross-codifference for bidimensional VAR(1) time series with infinite variance ⋮ Elliptical copulas: Applicability and limitations. ⋮ Indirect estimation of \(\alpha \)-stable stochastic volatility models ⋮ Indirect estimation of elliptical stable distributions ⋮ Estimation of stable distributions by indirect inference ⋮ Modeling fat tails in stock returns: a multivariate stable-GARCH approach ⋮ Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance ⋮ Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift

Uses Software

• STABLE

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