On the non-stationarity of financial time series: Impact on optimal portfolio selection

Journal of Statistical Mechanics: Theory and Experiment

Volumn 2012, Issue 7, 2012, Pages

  Livan, Giacomo ^a   Inoue, Jun Ichi ^b   Scalas, Enrico ^c,d  

^a ABDUS SALAM INTERNATIONAL CENTRE FOR THEORETICAL PHYSICS   (Italy)

^b HOKKAIDO UNIVERSITY   (Japan)

^c UNIVERSITY OF EASTERN PIEDMONT   (Italy)

^d BCAM BASQUE CENTER FOR APPLIED MATHEMATICS   (Spain)

Author keywords

financial instruments and regulation; risk measure and management

Indexed keywords

EID: 84864400321     PISSN: None     EISSN: 17425468     Source Type: Journal    
DOI: 10.1088/1742-5468/2012/07/P07025     Document Type: Article

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