The likelihood of various stock market return distributions. II: Empirical results

DOI10.1007/BF00056154zbMATH Open0876.90018MaRDI QIDQ1360232FDOQ1360232

Authors: Harry M. Markowitz 

Publication date: 1 December 1997

Published in: Journal of Risk and Uncertainty (Search for Journal in Brave)

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zbMATH Keywords

inferencestock market returnsdiffuse priorBayesian shiftsremote clients

Mathematics Subject Classification ID

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Cited In (17)

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• Stable Paretian versus student's \(t\) stock market hypothesis
• The likelihood of various stock market return distributions. I: Principles of inference
• Empirical evidence on Student-\(t\) log-returns of diversified world stock indices
• Stock returns and hyperbolic distributions
• On the probability distribution of stock returns in the Mike-Farmer model
• Mean-variance approximations to expected utility
• Title not available (Why is that?)
• The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets
• MODELING FINANCIAL SERIES DISTRIBUTIONS: A VERSATILE DATA FITTING APPROACH
• Varying confidence levels for CVaR risk measures and minimax limits
• Portfolio selection with higher moments
• Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model
• \(W_2\) barycenters for radially related distributions
• Testing for (in)finite moments
• Likelihood and posterior shapes in Johnson's \(S_B\) system
• Estimating univariate distributions via relative entropy minimization: case studies on financial and economic data

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