IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789814417358_0025.html
   My bibliography  Save this book chapter

Choosing Investment Portfolios When the Returns Have Stable Distributions

In: HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I

Author

Listed:
  • W. T. Ziemba

Abstract

This paper presents an efficient method for computing approximately optimal portfolios when the returns have symmetric stable distributions and there are many alternative investments. The procedure is valid, in particular, for independent investments and for multivariate investments of the classes introduced by Press and Samuelson. The algorithm is based on a two-stage decomposition of the problem and is analogous to the procedure developed by the author that is available for normally distributed investments utilizing Lintner's reformulation of Tobin's separation theorem…

Suggested Citation

  • W. T. Ziemba, 2013. "Choosing Investment Portfolios When the Returns Have Stable Distributions," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 25, pages 421-444, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814417358_0025
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789814417358_0025
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789814417358_0025
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789814417358_0025. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.