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Efficient Portfolio Selection for Pareto-Lévy Investments


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  • Samuelson, Paul A.


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Bibliographic Info

Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 2 (1967)
Issue (Month): 02 (June)
Pages: 107-122

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Handle: RePEc:cup:jfinqa:v:2:y:1967:i:02:p:107-122_01

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Cited by:
  1. Cornelis A Los, 2005. "Why VaR FailsLong Memory and Extreme Events in Financial Markets," The IUP Journal of Financial Economics, IUP Publications, vol. 0(3), pages 19-36, September.
  2. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243,
  3. Lau, Hon-Shiang & Lau, Amy Hing Ling, 1997. "The confounding effects of distribution mixtures on some basic methods for handling stable-Paretian distributions," European Journal of Operational Research, Elsevier, vol. 100(1), pages 60-71, July.
  4. Cornelis A. Los, 2004. "When to Put All Your Eggs in One Basket.....When Diversification Increases Portfolio Risk!," Finance 0411037, EconWPA.
  5. Athayde, Gustavo M. de & Flôres Junior, Renato Galvão, 2001. "Finding a Maximum Skewness Portfolio - A General Solution to Three-Moments Portfolio Choice," Economics Working Papers (Ensaios Economicos da EPGE) 434, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).


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