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)

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Cited in

(26)

• A general portfolio model for multivariate symmetric stable distributions
• The impact of fat tailed returns on asset allocation
• Elliptical copulas: Applicability and limitations.
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• Statistical inference on the drift parameter in symmetric stable Lévy process with a deterministic drift
• Modeling fat tails in stock returns: a multivariate stable-GARCH approach
• Optimal portfolio theory for stable distributions
• Empirical study of relation measures of stable distributed stock returns
• Estimating investor preferences towards portfolio return distribution in investment funds
• A proposal of portfolio choice for infinitely divisible distributions of asset returns
• Option pricing with Lévy-stable processes generated by Lévy-stable integrated variance
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• Stable ETL Optimal Portfolios and Extreme Risk Management
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• Optimal portfolio positioning within generalized Johnson distributions
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• Cross-codifference for bidimensional VAR(1) time series with infinite variance
• Forward-looking portfolio selection with multivariate non-Gaussian models
• Portfolio optimization for Student \(t\) and skewed \(t\) returns
• Estimation of stable distributions by indirect inference
• Portfolio selection in the presence of heavy-tailed asset returns
• Stable distributions in the Black–Litterman approach to asset allocation
• Practical computing for finite moment log-stable distributions to model financial risk
• Indirect estimation of \(\alpha \)-stable stochastic volatility models
• Indirect estimation of elliptical stable distributions

Describes a project that uses

Uses Software

• STABLE

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