This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

On the Class of Elliptical Distributions and Their Applications to the Theory of Portfolio Choice

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Owen, Joel
Rabinovitch, Ramon
Abstract

No abstract is available for this item.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://links.jstor.org/sici?sici=0022-1082%28198306%2938%3A3%3C745%3AOTCOED%3E2.0.CO%3B2-7&origin=repec
File Format: application/pdf
File Function: full text
Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 38 (1983)
Issue (Month): 3 (June)
Pages: 745-52
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:bla:jfinan:v:38:y:1983:i:3:p:745-52

Contact details of provider:
Web page: http://www.afajof.org/
More information through EDIRC

Order Information:
Web: http://www.afajof.org/membership/join.asp

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Pablo Marshall & Eduardo Walker, 2002. "Volumen, tamaño y ajuste a nueva información en el mercado accionario chileno," Estudios de Economia, University of Chile, Department of Economics, vol. 29(2 Year 20), pages 247-268, December. [Downloadable!]
  2. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2003. "Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach," Discussion Paper Series 1: Economic Studies 2003,01, Deutsche Bundesbank, Research Centre. [Downloadable!]
    Other versions:
  3. David A. Hennessy, 2004. "Orthogonal Subgroups for Portfolio Choice," Economics Bulletin, Economics Bulletin, vol. 7(1), pages 1-7. [Downloadable!]
    Other versions:
  4. Sergio Ortobelli & Svetlozar Rachev & Eduardo Schwartz, 2000. "The Problem of Optimal Asset Allocation with Stable Distributed Returns," University of California at Los Angeles, Anderson Graduate School of Management 1066, Anderson Graduate School of Management, UCLA. [Downloadable!]
  5. Oussama Chakroun & Georges Dionne & Amélie Dugas-Sampara, 2006. "Empirical Evaluation of Investor Rationality in the Asset Allocation Puzzle," Cahiers de recherche 0635, CIRPEE. [Downloadable!]
  6. George A. Christodoulakis & Stephen E Satchell, 2006. "Exact Elliptical Distributions for Models of Conditionally Random Financial Volatility," Working Papers 32, Bank of Greece. [Downloadable!]
  7. D. Sornette & P. Simonetti & J.V. Andersen, 1999. ""Nonlinear" covariance matrix and portfolio theory for non-Gaussian multivariate distributions," Finance 9902004, EconWPA. [Downloadable!]
  8. Andrea Gamba & Francesco Rossi, 1998. "A three-moment based portfolio selection model," Decisions in Economics and Finance, Springer, vol. 21(1), pages 25-48, June. [Downloadable!] (restricted)
  9. Douglas J Hodgson & Oliver Linton & Keith Vorkink, 2000. "Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach," STICERD - Econometrics Paper Series /2000/398, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    Other versions:
  10. Sergio Ortobelli Lozza, 2001. "The classification of parametric choices under uncertainty: analysis of the portfolio choice problem," Theory and Decision, Springer, vol. 51(2), pages 297-328, December. [Downloadable!] (restricted)
  11. Wing-Keung Wong & Chenghu Ma, 2008. "Preferences over location-scale family," Economic Theory, Springer, vol. 37(1), pages 119-146, October. [Downloadable!] (restricted)
Statistics
Access and download statistics

Did you know? No RePEc service, like IDEAS, charges for the use or the display of bibliographic data.

This page was last updated on 2008-9-29.


This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.