Abstract.
This paper analyzes and discusses the stable distributional approach in portfolio choice theory. We consider different hypotheses of portfolio selection with stable distributed returns and, more generally, with heavy-tailed distributed returns. In particular, we examine empirical differences among the optimal allocations obtained with the Gaussian and the stable non-Gaussian distributional assumption for the financial returns. Finally, we compare performances among stable multivariate models.
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Ortobelli, S., Huber, I. & Schwartz, E. Portfolio selection with stable distributed returns. Mathematical Methods of OR 55, 265–300 (2002). https://doi.org/10.1007/s001860200182
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DOI: https://doi.org/10.1007/s001860200182