Portfolio selection with stable distributed returns

DOI10.1007/S001860200182MaRDI QIDQ1397060zbMATH OpenOpenAlexFDO

Authors Sergio Ortobelli, Isabella Huber, Eduardo S. Schwartz

Publication date 16 July 2003

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s001860200182

zbMATH Keywords

optimal allocationsstable multivariate models

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Portfolio theory (91G10)

Recommendations

• Portfolio management with stable distributions
• scientific article; zbMATH DE number 6531505
• scientific article; zbMATH DE number 2124902
• Portfolio selection in the presence of heavy-tailed asset returns
• Optimal portfolio theory for stable distributions

Cited in

(25)

• Stable distributions in the Black–Litterman approach to asset allocation
• Optimal portfolio theory for stable distributions
• Option pricing with Lévy-stable processes generated by Lévy-stable integrated variance
• Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift
• Optimal portfolio positioning within generalized Johnson distributions
• The impact of fat tailed returns on asset allocation
• scientific article; zbMATH DE number 5521113 (Why is no real title available?)
• scientific article; zbMATH DE number 6531505 (Why is no real title available?)
• Modeling fat tails in stock returns: a multivariate stable-GARCH approach
• Forward-looking portfolio selection with multivariate non-Gaussian models
• Estimation of stable distributions by indirect inference
• Empirical study of relation measures of stable distributed stock returns
• Portfolio optimization for Student \(t\) and skewed \(t\) returns
• Portfolio selection in the presence of heavy-tailed asset returns
• Practical computing for finite moment log-stable distributions to model financial risk
• A general portfolio model for multivariate symmetric stable distributions
• Estimating investor preferences towards portfolio return distribution in investment funds
• Selection of balanced portfolios to track the main properties of a large market
• A proposal of portfolio choice for infinitely divisible distributions of asset returns
• scientific article; zbMATH DE number 2124902 (Why is no real title available?)
• Stable ETL Optimal Portfolios and Extreme Risk Management
• Indirect estimation of \(\alpha \)-stable stochastic volatility models
• Indirect estimation of elliptical stable distributions
• Cross-codifference for bidimensional VAR(1) time series with infinite variance
• Elliptical copulas: Applicability and limitations.

Describes a project that uses

Uses Software

• STABLE

This page was built for publication: Portfolio selection with stable distributed returns

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1397060)