Search Results - subject:"Multivariate Stable Distribution"

Portfolio optimization when risk factors are conditionally varying and heavy tailed

Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan - 2006

Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and fat tails, the normal distribution with constant...

Persistent link: https://www.econbiz.de/10010298338

Portfolio optimization when risk factors are conditionally varying and heavy tailed

Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan - Center for Financial Studies - 2006

Persistent link: https://www.econbiz.de/10010958549

Portfolio Optimization wehn Risk Factors are Conditionally Varying and Heavy Tailed

Doganoglu, Toker; Hartz, Christoph; Mittnik, Stefan - Center for Financial Studies - 2006

. JEL Classification: C13, C32, G11, G14, G18 Keywords: Multivariate Stable Distribution, Index Model, Portfolio … multivariate stable distribution, the aggregate return of the portfolio is given by a linear combination of jointly stable Paretian …

Persistent link: https://www.econbiz.de/10005600451