Returns and the Gaussian Hypothesis

Pierre Brugière
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Pierre Brugière: University Paris Dauphine-PSL

Chapter Chapter 1 in Quantitative Portfolio Management, 2020, pp 1-18 from Springer

Abstract: Abstract In this book, the problem of finding optimal portfolios is mathematically solved under the assumption that the returns of the risky assets follow a Gaussian distribution. In this section, we give the definition of a price return and of a total return and describe some tools to analyse these returns and to statistically test the hypothesis of normality on them. The hypothesis does not always appear to be satisfied, depending on the stock or on the period considered, nevertheless, even in these cases, the methods of portfolio optimisation may still teach some useful lessons.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-030-37740-3_1

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DOI: 10.1007/978-3-030-37740-3_1

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