Optimal Portfolio Selection using Stable Distribution

Marek Łażewski and Krzysztof Zator
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Marek Łażewski: Poznań University of Economics and Business, Poland
Krzysztof Zator: TUiR Warta SA, Poland

Chapter 12 in Acta Universitatis Lodziensis. Folia Oeconomica nr 166/2003 - Modern Methods of Analysis and Forecasting Financial Markets, 2003, vol. 166, pp 183-197 from University of Lodz

Abstract: In this paper we study the traditional Mean-Variance method in portfolio selection when asset returns are assumed to be alpha-stable. An а-stable optimal portfolio are computed and compared to the classical Gaussian one. The efficient frontier obtained from this analysis model dominates the one defined in terms of the Markowitz portfolio selection model criterion.

Keywords: Alpha-stable distributions; Spectral analysis; Risk measures (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2003:n:166:ch:12:foe

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