Portfolio management with stable distributions

DOI10.1007/s001860050092zbMath1016.91060OpenAlexW2085084749MaRDI QIDQ1574542

Seonkoo Han, Svetlozar T. Rachev

Publication date: 10 August 2000

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

Full work available at URL: https://doi.org/10.1007/s001860050092

zbMATH Keywords

optimizationstable distributionsportfolio management

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (8)

Multi-tail generalized elliptical distributions for asset returns ⋮ Modelling co-movements and tail dependency in the international stock market via copulae ⋮ Estimating stable latent factor models by indirect inference ⋮ Estimation for multivariate stable distributions with generalized empirical likelihood ⋮ Robust consumption and portfolio policies when asset prices can jump ⋮ Portfolio choice with jumps: a closed-form solution ⋮ Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index ⋮ Safety-first analysis and stable Paretian approach to portfolio choice theory

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