CAPM, RISK AND PORTFOLIO SELECTION IN "α-STABLE MARKETS"

DOI10.1142/S0218348X00000111zbMath1047.91531OpenAlexW1963496217WikidataQ57668030 ScholiaQ57668030MaRDI QIDQ4810240

Lotfi Belkacem, Jacques Lévy-Véhel, Christian Walter

Publication date: 2 September 2004

Published in: Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0218348x00000111

Mathematics Subject Classification ID

Related Items (7)

Portfolio optimization when risk factors are conditionally varying and heavy tailed ⋮ Portfolio theory for \(\alpha\)-symmetric and pseudoisotropic distributions: \(k\)-fund separation and the CAPM ⋮ Detection of changes in a random financial sequence with a stable distribution ⋮ Estimation for multivariate stable distributions with generalized empirical likelihood ⋮ A testable version of the Pareto-Stable CAPM ⋮ Convex and star-shaped sets associated with multivariate stable distributions. I: Moments and densities ⋮ Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics

Cites Work

• Association of stable random variables
• Limit theorems for sums of linearly generated random variables
• Properties of certain symmetric stable distributions
• Multivariate stable distributions
• MULTIVARIATE STABLE FUTURES PRICES
• Regression-Type Estimation of the Parameters of Stable Laws

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