scientific article; zbMATH DE number 5038977

MaRDI QIDQ5477703zbMATH OpenFDO

Authors Sergio Ortobelli, Almira Biglova, Isabella Huber, Borjana Racheva, Stoyan V. Stoyanov

Publication date 6 July 2006

Mathematics Subject Classification ID

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

Cited in

(5)

• On the impact of semidefinite positive correlation measures in portfolio theory
• Distributional properties of portfolio weights
• Diagnostic tests for non-causal time series with infinite variance
• Portfolio choice with skewness preference and wealth-dependent risk aversion
• Asymptotic stochastic dominance rules for sums of i.i.d. random variables

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