scientific article; zbMATH DE number 2124902

MaRDI QIDQ4832223zbMATH OpenFDO

Authors Sergio Ortobelli, Eduardo S. Schwartz, Svetlozar T. Rachev

Publication date 4 January 2005

zbMATH Keywords

discrete time stable portfolio selection modelsmaximization of the expected utilitystable non-Gaussian distributed index returnssymmetric and asymmetric discrete time portfolio selection models

Mathematics Subject Classification ID

Recommendations

• Optimal portfolio theory for stable distributions
• Stable distributions in the Black–Litterman approach to asset allocation
• Portfolio selection with stable distributed returns
• The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach
• Portfolio management with stable distributions

Cited in

(11)

• A general portfolio model for multivariate symmetric stable distributions
• The impact of fat tailed returns on asset allocation
• Portfolio selection with stable distributed returns
• Portfolio management with stable distributions
• Optimal portfolio theory for stable distributions
• Stable ETL Optimal Portfolios and Extreme Risk Management
• scientific article; zbMATH DE number 5521113 (Why is no real title available?)
• scientific article; zbMATH DE number 5657872 (Why is no real title available?)
• Stable distributions in the Black–Litterman approach to asset allocation
• scientific article; zbMATH DE number 6402032 (Why is no real title available?)
• The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach

Describes a project that uses

Uses Software

• STABLE

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4832223)