A testable version of the Pareto-stable CAPM

Mathematical and Computer Modelling

Volumn 29, Issue 10-12, 1999, Pages 61-81

  Gamrowski, B ^a,b   Rachev, S T ^c  

^a Lab d'Econometrie de l'Ecole P   (France)

^b Crédit Commercial de France ^*  (France)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Capital asset pricing model; Risk measures; Stable laws

Indexed keywords

EID: 0033133857     PISSN: 08957177     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0895-7177(99)00093-X     Document Type: Article

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