The likelihood of various stock market return distributions. I: Principles of inference
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Publication:1360231
DOI10.1007/BF00056153zbMath0876.90017MaRDI QIDQ1360231
Nilufer Usmen, Harry M. Markowitz
Publication date: 4 December 1997
Published in: Journal of Risk and Uncertainty (Search for Journal in Brave)
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Unimodal density estimation using Bernstein polynomials ⋮ The likelihood of various stock market return distributions. II: Empirical results ⋮ \(W_2\) barycenters for radially related distributions ⋮ Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model ⋮ Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs ⋮ Mean-variance approximations to expected utility ⋮ Testing for (in)finite moments ⋮ Varying confidence levels for CVaR risk measures and minimax limits ⋮ A BENCHMARK APPROACH TO FINANCE ⋮ Stable Paretian versus student's \(t\) stock market hypothesis ⋮ Empirical evidence on Student-\(t\) log-returns of diversified world stock indices
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