Comparing Student’s t-Distribution with the Logistic Distribution

James Ming Chen
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James Ming Chen: Michigan State University

Chapter Chapter 15 in Postmodern Portfolio Theory, 2016, pp 281-289 from Palgrave Macmillan

Abstract: Abstract Bell curves come in different configurations. Like the family of multivariate Student’s t-distributions, the entire family of multivariate logistic distributions belongs to the same class of jointly elliptical distributions that includes the standard normal distribution.1 The simplest version of the logistic distribution2 provides an instructive contrast with the t-distributions we have used thus far to enhance the robustness of our parametric VaR analysis, relative to the Gaussian baseline.

Keywords: Supra Note; Capital Asset Price Model; Logistic Distribution; Investment Horizon; Excess Kurtosis (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1057/978-1-137-54464-3_15

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