Babaei, Sadra; Sepehri, Mohammad Mehdi; Babaei, Edris - In: European Journal of Operational Research 244 (2015) 2, pp. 525-539
Portfolio optimization context has shed only a little light on the dependence structure among the financial returns along with the fat-tailed distribution associated with them. This study tries to find a remedy for this shortcoming by exploiting stable distributions as the marginal distributions...