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Portfolio management with stable distributions

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Abstract.

The aim of this short review is to outline the main directions of stable Paretian modeling in portfolio management.

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Authors and Affiliations

  1. Institute of Statistics and Mathematical Economics, University of Karlsruhe, D-76128 Karlsruhe, Germany (e-mail: rachev@lsoe.uni-karlsruhe.de), , , , , , DE

    Svetlozar Rachev

  2. Department of Statistics and Applied Probability, University of California, Santa Barbara, CA 93106, USA (e-mail: seonkoon@pstat.ucsb.edu), , , , , , US

    Seonkoo Han

Authors
  1. Svetlozar Rachev
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  2. Seonkoo Han
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Manuscript received: March 1999/final version received: September 1999

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Rachev, S., Han, S. Portfolio management with stable distributions. Mathematical Methods of OR 51, 341–352 (2000). https://doi.org/10.1007/s001860050092

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  • DOI: https://doi.org/10.1007/s001860050092

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