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...

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...

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...

We propose a definition of a multivariate Linnik distribution based upon closure under geometric compounding. The characteristic function of the multivariate Linnik model is 1/(1 + ([summation operator]mi = 1s'[Omega]is)[alpha]/2, where 0 [alpha] [less-than-or-equals, slant] 2, the [Omega]i's...