The stable non-Gaussian asset allocation: A comparison with the classical Gaussian approach

Journal of Economic Dynamics and Control

Volumn 27, Issue 6, 2003, Pages 937-969

  Tokat, Yesim ^a   Rachev, Svetlozar T ^a,b   Schwartz, Eduardo S ^c  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF KARLSRUHE   (Germany)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Asset return; Dynamic portfolio optimization; Scenario generation; Stable distribution

Indexed keywords

EID: 0037383959     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(02)00050-7     Document Type: Article

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