Portfolio Analysis in a Stable Paretian Market
From MaRDI portal
Publication:5337687
DOI10.1287/mnsc.11.3.404zbMath0129.11903OpenAlexW2141863469MaRDI QIDQ5337687
Publication date: 1965
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.11.3.404
Related Items
The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors, Scaling, self-similarity and multifractality in FX markets, A diagnostic model for improving the efficiency of an existing portfolio, Evaluating probabilistic forecasts of stock prices in a developing stock market, Distributional properties of portfolio weights, Order statistics for nonstationary time series, Option pricing for log-symmetric distributions of returns, Out of sample forecasts of quadratic variation, Quantifying and understanding the economics of large financial movements, Clustering financial time series: new insights from an extended hidden Markov model, Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion, Periodic moving averages of random variables with regularly varying tails, Optimal portfolio of safety-first models, A nonparametric sequential test with power 1 for the mean of Lévy-stable laws with infinite variance, Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview, Nuisance parameters in statistics of finance, Portfolio theory for \(\alpha\)-symmetric and pseudoisotropic distributions: \(k\)-fund separation and the CAPM, A quantum model of supply and demand, New variance ratio tests to identify random walk from the general mean reversion model, Identification of additive and polynomial models of mismeasured regressors without instruments, Gaussian mixture modelling to detect random walks in capital markets, Asymptotic multivariate dominance: a financial application, Mean reversion in the US stock market, Fractional-moment capital asset pricing model, Pricing permanent convertible bonds in EVG model, On the variance of stock price distributions, Recent results in applications and processing of \(\alpha\)-stable-distributed time series, Spurious regression, Estimating L-functionals for heavy-tailed distributions and application, Semi- and nonparametric ARCH processes, An alternative for robust estimation in project management, A nonlinear Bayesian filtering approach to estimating adaptive market effciency, A framework for optimization under ambiguity, Divergent rational expectations equilibrium in a dynamic model of a futures market, Scaling behavior in land markets, A hybrid Pareto model for asymmetric fat-tailed data: the univariate case, Comparison of different estimation techniques for portfolio selection, Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models, Comparing firm failure predictions between Logit, KMV, and ZPP models: Evidence from Taiwan's electronics industry, Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions, Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis., Aggregation of preferences for skewed asset returns, Mean-semivariance models for fuzzy portfolio selection, Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk, Shaking the tree: an agency-theoretic model of asset pricing, Martingales, nonlinearity, and chaos, Delta hedging strategies comparison, Long-term and short-term price memory in the stock market, An alternative approach to stochastic calculus for economic and financial models, Optimal investment management for a defined contribution pension fund under imperfect information, An analysis of asymptotic properties and error control under the exponential jump-diffusion model for American option pricing, Mixture densities for project management activity times: A robust approach to PERT, Stochastic modeling of security returns: Evidence from the Helsinki stock exchange, Estimating the scale parameter of a Lévy-stable distribution via the extreme value approach, Mean-VaR portfolio optimization: a nonparametric approach, Asset price and wealth dynamics in a financial market with heterogeneous agents, One-step R-estimation in linear models with stable errors, Indirect estimation of elliptical stable distributions, Least squares estimators for stochastic differential equations driven by small Lévy noises, On Monte Carlo methods for Bayesian multivariate regression models with heavy-tailed errors, Estimation of stable distributions by indirect inference, Stock returns and hyperbolic distributions, Stable distributions and the term structure of interest rates, A testable version of the Pareto-Stable CAPM, Computing the probability density function of the stable Paretian distribution, Tail behavior of a threshold autoregressive stochastic volatility model, Parametric and nonparametric models and methods in financial econometrics, The asset market game, On the non-existence of conditional value-at-risk under heavy tails and short sales, Mean-variance efficiency of optimal power and logarithmic utility portfolios, Regime switching volatility calibration by the Baum-Welch method, Stochastic models for risk estimation in volatile markets: a survey, Portfolio diversification under local and moderate deviations from power laws, Mutual fund separation in financial theory - the separating distributions, Inference robustness of ARIMA models under non-normality. Special application to stock price data, Approximate portfolio analysis, Rank statistics for serial dependence, The probability content of cones in isotropic random fields, Bayesian analysis of stochastic volatility models with mixture-of-normal distributions, Moment based approaches to Value the Risk of contingent claim portfolios, The confounding effects of distribution mixtures on some basic methods for handling stable-Paretian distributions, Series representation of the pricing formula for the European option driven by space-time fractional diffusion, A new foundation for the mean-variance analysis, A comparison between neural networks and chaotic models for exchange rate prediction., A review of credibilistic portfolio selection, A comparison of procedures for estimating the parent probability distribution from a given set of fractiles, Cointegrated processes with infinite variance innovations, Tests for cointegration with infinite variance errors, Consistent cross-validatory model-selection for dependent data: hv-block cross-validation, Stochastic dominance and parameter estimation: The case of symmetric stable distributions, Generalized entropy approach to stable Lévy distributions with financial application, Modeling financial asset returns with shot noise processes, Maximum likelihood estimation of stable Paretian models., Tsallis statistics and gradually truncated Lévy flight - distribution of an economical index, Margrabe's option to exchange in a Paretian-stable subordinated market., Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model, Markov chain test for time dependence and homogeneity: An analytical and empirical evaluation, Model-based pricing for financial derivatives, Alternative methods of linear regression, Geometric stable distributions in Banach spaces, On the distribution of linear combinations of the components of a Dirichlet random vector, The multivariate tail-inflated normal distribution and its application in finance, Multi-tail generalized elliptical distributions for asset returns, Nonparametric inference of discretely sampled stable Lévy processes, Portfolio optimization when risk factors are conditionally varying and heavy tailed, The stationary seasonal hyperbolic asymmetric power ARCH model, Time series AR(1) model for short-tailed distributions, Papers with John, Leptokurtic moment-parameterized elliptically contoured distributions with application to financial stock returns, Fourier-analytic measures for heavy-tailed insurance losses, A family of nonparametric unit root tests for processes driven by infinite variance innovations, The sparse method of simulated quantiles: An application to portfolio optimization, Uncertain random portfolio selection with high order moments, Maximum likelihood estimation for nearly non‐stationary stable autoregressive processes, Non‐stationary autoregressive processes with infinite variance, ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE, Value-at-Risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions, Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model, QUANTILE PERIODOGRAM AND TIME‐DEPENDENT VARIANCE, A theory of portfolio revision: robustness and truncation problems, Mean-variance-skewness model for portfolio selection with transaction costs, Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns, Foreign exchange market prediction with multiple classifiers, Modeling fat tails in stock returns: a multivariate stable-GARCH approach, Asymptotic stochastic dominance rules for sums of i.i.d. random variables, Portfolio diversification and value at risk under thick-tailedness†, ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY, TheQ theory of investment, the capital asset pricing model, and asset valuation: a synthesis, A simulation study of some nonparametric regression estimators, Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets, Strategic long-term financial risks: single risk factors, Russian and American put options under exponential phase-type Lévy models., Unnamed Item