Safety-first analysis and stable Paretian approach to portfolio choice theory

Mathematical and Computer Modelling

Volumn 34, Issue 9-11, 2001, Pages 1037-1072

  Ortobelli L, S ^a   Rachev, S T ^b,c  

^a UNIVERSITY OF BERGAMO   (Italy)

^b UNIVERSITY OF KARLSRUHE   (Germany)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Domain of attraction; Efficient frontier; Portfolio selection; Safety first portfolio; Stable Paretian distributions

Indexed keywords

EID: 0035943939     PISSN: 08957177     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0895-7177(01)00116-9     Document Type: Article

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