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Volumn 29, Issue 10-12, 1999, Pages 37-56

Levy-stability-under-addition and fractal structure of markets: Implications for the investment management industry and emphasized examination of MATIF notional contract

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EID: 0032812694     PISSN: 08957177     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0895-7177(99)00091-6     Document Type: Article
Times cited : (9)

References (18)
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    • Les risques de marché et les distributions de lévy (Market risks and Lévy distributions)
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    • L'utilisation des lois lévy-stables en finance: Une solution possible au problème posé par les discontinuités des trajectories boursières
    • 4-23 October and January
    • 8. Ch. Walter, L'utilisation des lois Lévy-stables en finance: Une solution possible au problème posé par les discontinuités des trajectories boursières (The use of Lévy-stable laws in finance: A possible solution to the stock motion discontinuity problem), Bull. de l'IAF 349/350, 3-32, 4-23 (October 1990 and January 1991).
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    • Walter, C.1
  • 9
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    • The matching of assets to liabilities
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    • Portfolio selection in the presence of fixed liabilities: A comment on "the matching of assets to liabilities"
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  • 11
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    • Mesure de performance corrigée du risque: Une synthèse des méthodes existantes
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    • One-dimensional stable distributions
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    • Lévy-stables distributions and fractal structure on the paris market: An empirical examination
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    • Regression-type estimation of the parameters of stable laws
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    • Portfolio analysis in a stable paretian market
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    • 18. Sinaï, Self-similar probability distributions, Theory of Probability and Its Applications 21(1), 64-80 (1976).
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