The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach

DOI10.1016/S0165-1889(02)00050-7zbMath1178.91181MaRDI QIDQ951337

Eduardo S. Schwartz, Yesim Tokat, Svetlozar T. Rachev

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

stable distributionscenario generationdynamic portfolio optimizationasset return predictability

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Portfolio theory (91G10)

Related Items (9)

Directional entropy and tail uncertainty, with applications to financial hazard ⋮ Active portfolio management with benchmarking: adding a value-at-risk constraint ⋮ The Role of the Normal Distribution in Financial Markets ⋮ Asset pricing in a Lucas fruit-tree economy with the best and worst in mind ⋮ Stable distributions in the Black–Litterman approach to asset allocation ⋮ Ambiguity in portfolio selection ⋮ The impact of fat tails on equilibrium rates of return and term premia ⋮ THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY ⋮ Exact and approximate expressions for the reliability of stable Lévy random variables with applications to stock market modelling

Uses Software

• RiskMetrics

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