Portfolio selection with stable distributed returns

Sergio Ortobelli, Isabella Huber and Eduardo Schwartz

Mathematical Methods of Operations Research, 2002, vol. 55, issue 2, 265-300

Abstract: This paper analyzes and discusses the stable distributional approach in portfolio choice theory. We consider different hypotheses of portfolio selection with stable distributed returns and, more generally, with heavy-tailed distributed returns. In particular, we examine empirical differences among the optimal allocations obtained with the Gaussian and the stable non-Gaussian distributional assumption for the financial returns. Finally, we compare performances among stable multivariate models. Copyright Springer-Verlag Berlin Heidelberg 2002

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:55:y:2002:i:2:p:265-300

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DOI: 10.1007/s001860200182

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