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Portfolio Analysis in a Stable Paretian Market

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  1. He, Ling-Yun & Qian, Wen-Bin, 2012. "A Monte Carlo simulation to the performance of the R/S and V/S methods—Statistical revisit and real world application," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(14), pages 3770-3782.
  2. Bojan Dimitrijević & Ivan Lovre, 2015. "The Role of Temperature in Economic Exchange - An Empirical Analysis," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 4(3), pages 65-89.
  3. Kliber, Pawel, 2008. "A Proposal of Portfolio Choice for Infinitely Divisible Distributions of Assets Returns," MPRA Paper 22541, University Library of Munich, Germany.
  4. GUORUI BIAN & MICHAEL McALEER & WING-KEUNG WONG, 2013. "Robust Estimation And Forecasting Of The Capital Asset Pricing Model," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 1-18.
  5. Yang, Jangho & Heinrich, Torsten & Winkler, Julian & Lafond, François & Koutroumpis, Pantelis & Farmer, J. Doyne, 2019. "Measuring productivity dispersion: a parametric approach using the Lévy alpha-stable distribution," MPRA Paper 96474, University Library of Munich, Germany.
  6. Jozef Barunik & Josef Kurka, 2021. "Risks of heterogeneously persistent higher moments," Papers 2104.04264, arXiv.org, revised Mar 2024.
  7. José Antonio Climent Hernández & Gabino Sánchez Arzate & Ambrosio Ortiz Ramírez, 2021. "Portafolios ?-estables del G20: Evidencia empírica con Markowitz, Tobin y CAPM," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(4), pages 1-28, Octubre -.
  8. Gu, Gao-Feng & Chen, Wei & Zhou, Wei-Xing, 2008. "Empirical distributions of Chinese stock returns at different microscopic timescales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 495-502.
  9. Charilaos Mertzanis, 2013. "Risk Management Challenges after the Financial Crisis," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 42(3), pages 285-320, November.
  10. Y. Malevergne & D. Sornette, 2003. "VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions," Papers physics/0301009, arXiv.org.
  11. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
  12. Nicolas Brisset, 2018. "Models as speech acts: the telling case of financial models," Journal of Economic Methodology, Taylor & Francis Journals, vol. 25(1), pages 21-41, January.
  13. Obrimah, Oghenovo A., 2023. "Outside of a sole globally risk averse agent, all other agents in markets are risk seeking agents," Finance Research Letters, Elsevier, vol. 54(C).
  14. Chalfant, James & Collender, Robert N. & Subramanfar, Shankar, 1988. "The Mean and Variance of the Mean-Variance Decision Rule," CUDARE Working Papers 198476, University of California, Berkeley, Department of Agricultural and Resource Economics.
  15. José Antonio Climent Hernández, 2017. "Portafolios de dispersión mínima con rendimientos log-estables," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 12(2), pages 49-69, Abril-Jun.
  16. Bao, Te & Diks, Cees & Li, Hao, 2018. "A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction," Economic Modelling, Elsevier, vol. 68(C), pages 611-621.
  17. Matthias Wagener & Andriette Bekker & Mohammad Arashi, 2021. "Mastering the Body and Tail Shape of a Distribution," Mathematics, MDPI, vol. 9(21), pages 1-22, October.
  18. Christian Walter, 2005. "La gestion indicielle et la théorie des moyennes," Revue d'Économie Financière, Programme National Persée, vol. 79(2), pages 113-136.
  19. Salih Çam, 2023. "Asset Allocation with Combined Models Based on Game-Theory Approach and Markov Chain Models," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(39), pages 26-36, December.
  20. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
  21. Chalfant, James A. & Callender, Robert N. & Subramanian, Shankar, 1988. "The Mean And Variance Of The Mean-Variance Decision Rule," Department of Economics and Business - Archive 259434, North Carolina State University, Department of Economics.
  22. François-Éric Racicot & William F. Rentz & Alfred L. Kahl, 2017. "Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 23(1), pages 75-90, February.
  23. Toker Doganoglu & Christoph Hartz & Stefan Mittnik, 2007. "Portfolio optimization when risk factors are conditionally varying and heavy tailed," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 333-354, May.
  24. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2016. "Statistical Modeling Of Stock Returns: Explanatory Or Descriptive? A Historical Survey With Some Methodological Reflections," Journal of Economic Surveys, Wiley Blackwell, vol. 30(1), pages 149-164, February.
  25. 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.
  26. Naval K. Modani & Philip L. Cooley & Rodney L. Roenfeldt, 1983. "Stability Of Market Risk Surrogates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(1), pages 33-40, March.
  27. 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.
  28. Gabaix, Xavier & Gopikrishnan, Parameswaran & Plerou, Vasiliki & Eugene Stanley, H., 2008. "Quantifying and understanding the economics of large financial movements," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 303-319, January.
  29. Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel, 1995. "Testing for continuous-time models of the short-term interest rate," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 199-223, September.
  30. Greg Hannsgen, 2012. "Infinite-variance, alpha-stable shocks in monetary SVAR," International Review of Applied Economics, Taylor & Francis Journals, vol. 26(6), pages 755-786, April.
  31. Vukovic, Darko & Vyklyuk, Yaroslav & Matsiuk, Natalia & Maiti, Moinak, 2020. "Neural network forecasting in prediction Sharpe ratio: Evidence from EU debt market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
  32. Chabi-Yo, Fousseni & Leisen, Dietmar P.J. & Renault, Eric, 2014. "Aggregation of preferences for skewed asset returns," Journal of Economic Theory, Elsevier, vol. 154(C), pages 453-489.
  33. Philipp N. Baecker, 2007. "Real Options and Intellectual Property," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-48264-2, December.
  34. Pierre Perron & Eduardo Zorita & Iliyan Georgiev & Paulo M. M. Rodrigues & A. M. Robert Taylor, 2017. "Unit Root Tests and Heavy-Tailed Innovations," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(5), pages 733-768, September.
  35. Héctor Alonso Olivares Aguayo, 2021. "Afectaciones financieras en los principales países de América Latina con mayores registros de COVID-19," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(3), pages 1-18, Julio - S.
  36. repec:dau:papers:123456789/6326 is not listed on IDEAS
  37. Drama, Bedi Guy Herve & Yao, Shen, 2010. "Management of Stock Price and it Effect on Economic Growth: Case study of West African Financial Markets," MPRA Paper 24907, University Library of Munich, Germany.
  38. Ibragimov, Rustam & Walden, Johan, 2008. "Portfolio diversification under local and moderate deviations from power laws," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 594-599, April.
  39. Ortobelli, Sergio & Rachev, Svetlozar T. & Fabozzi, Frank J., 2010. "Risk management and dynamic portfolio selection with stable Paretian distributions," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 195-211, March.
  40. Samiran Jana, 2016. "Effect of Investors’ Sentiment on Indian Stock Market," Global Business Review, International Management Institute, vol. 17(5), pages 1240-1249, October.
  41. Sergio Ortobelli Lozza & Tommaso Lando & Filomena Petronio & Tomáš Tichý, 2016. "Asymptotic Multivariate Dominance: A Financial Application," Methodology and Computing in Applied Probability, Springer, vol. 18(4), pages 1097-1115, December.
  42. Bai, Zhidong & Liu, Huixia & Wong, Wing-Keung, 2016. "Making Markowitz's Portfolio Optimization Theory Practically Useful," MPRA Paper 74360, University Library of Munich, Germany.
  43. Lau, Hon-Shiang & Lau, Amy Hing-Ling & Kottas, John F., 2000. "A comparison of procedures for estimating the parent probability distribution from a given set of fractiles," European Journal of Operational Research, Elsevier, vol. 120(3), pages 657-670, February.
  44. Alexandros M. Goulielmos, 2015. "The Multi-faceted Character of Risk in Maritime Freight Markets (Panamax) 1996-2012," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 65(1-2), pages 67-86, January-M.
  45. Camilleri, Silvio John & Galea, Gabriella, 2009. "The Diversification Potential Offered by Emerging Markets in Recent Years," MPRA Paper 62491, University Library of Munich, Germany.
  46. Meager, Rachael & Sturdy, Jennifer, 2017. "Aggregating Distributional Treatment Effects: A Bayesian Hierarchical Analysis of the Microcredit Literature," MetaArXiv 7tkvm, Center for Open Science.
  47. Lombardi, Marco J. & Veredas, David, 2009. "Indirect estimation of elliptical stable distributions," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2309-2324, April.
  48. Mouck, T., 1998. "Capital markets research and real world complexity: The emerging challenge of chaos theory," Accounting, Organizations and Society, Elsevier, vol. 23(2), pages 189-203, February.
  49. José Antonio Climent-Hernández, 2017. "Portafolios de dispersión mínima con rendimientos log-estables Minimum dispersion portfolios with log-stable returns," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, March.
  50. Amen Aissi Harzallah & Mouna Boujelbene Abbes, 2020. "The Impact of Financial Crises on the Asset Allocation: Classical Theory Versus Behavioral Theory," Journal of Interdisciplinary Economics, , vol. 32(2), pages 218-236, July.
  51. Michael R. Powers & Thomas Y. Powers & Siwei Gao, 2012. "Risk Finance for Catastrophe Losses with Pareto‐Calibrated Lévy‐Stable Severities," Risk Analysis, John Wiley & Sons, vol. 32(11), pages 1967-1977, November.
  52. Pan, Ming-Shiun & Chan, Kam C. & Fok, Chi-Wing, 1995. "The distribution of currency futures price changes: A two-piece mixture of normals approach," International Review of Economics & Finance, Elsevier, vol. 4(1), pages 69-78.
  53. Sun, Yunchuan & Wu, Mengyuan & Zeng, Xiaoping & Peng, Zihan, 2021. "The impact of COVID-19 on the Chinese stock market: Sentimental or substantial?," Finance Research Letters, Elsevier, vol. 38(C).
  54. Cornelis A. Los, 2004. "When to Put All Your Eggs in One Basket.....When Diversification Increases Portfolio Risk!," Finance 0411037, University Library of Munich, Germany.
  55. Carlos A. Abanto‐Valle & Roland Langrock & Ming‐Hui Chen & Michel V. Cardoso, 2017. "Maximum likelihood estimation for stochastic volatility in mean models with heavy‐tailed distributions," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 33(4), pages 394-408, August.
  56. Cornelis A. Los, 2005. "The Degree of Stability of Price Diffusion," Finance 0508006, University Library of Munich, Germany.
  57. Wei Zhang & Kai Yan & Dehua Shen, 2021. "Can the Baidu Index predict realized volatility in the Chinese stock market?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
  58. Didier SORNETTE, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models," Swiss Finance Institute Research Paper Series 14-25, Swiss Finance Institute.
  59. Jozef Barunik & Lubos Hanus, 2022. "Learning Probability Distributions in Macroeconomics and Finance," Papers 2204.06848, arXiv.org.
  60. Bai, Zhidong & Li, Hua & Wong, Wing-Keung, 2013. "The best estimation for high-dimensional Markowitz mean-variance optimization," MPRA Paper 43862, University Library of Munich, Germany.
  61. Climent-Hernández, José Antonio & Venegas-Martínez, Francisco & Ortiz-Arango, Francisco, 2014. "Portafolio óptimo y productos estructurados en mercados alpha-estables: un enfoque de minimización de riesgo [Optimal Portfolio and Structured Notes in alpha-stable Markets: a Risk Minimization App," MPRA Paper 57740, University Library of Munich, Germany.
  62. Pivato, Marcus & Seco, Luis, 2003. "Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis," Journal of Multivariate Analysis, Elsevier, vol. 87(2), pages 219-240, November.
  63. Markus Huggenberger & Peter Albrecht, 2022. "Risk pooling and solvency regulation: A policyholder's perspective," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(4), pages 907-950, December.
  64. Thierry Chauveau & Sylvain Friederich & Jérôme Héricourt & Emmanuel Jurczenko & Catherine Lubochinsky & Bertrand Maillet & Christophe Moussu & Bogdan Négréa & Hélène Raymond-Feingold, 2004. "La volatilité des marchés augmente-t-elle ?," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 17-44.
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