Simple Rules for Optimal Portfolio Selection in Stable Paretian Markets
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- Garcia, René & Renault, Eric & Veredas, David, 2011.
"Estimation of stable distributions by indirect inference,"
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Elsevier, vol. 161(2), pages 325-337, April.
- GARCIA, René & RENAULT, Eric & VEREDAS, David, 2006. "Estimation of stable distributions by indirect inference," CORE Discussion Papers 2006112, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
- Kaplanski, Guy, 2004. "Traditional beta, downside risk beta and market risk premiums," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(5), pages 636-653, December.
- Toker Doganoglu & Christoph Hartz & Stefan Mittnik, 2007.
"Portfolio optimization when risk factors are conditionally varying and heavy tailed,"
Springer;Society for Computational Economics, vol. 29(3), pages 333-354, May.
- Doganoglu, Toker & Hartz, Christoph & Mittnik, Stefan, 2006. "Portfolio optimization when risk factors are conditionally varying and heavy tailed," CFS Working Paper Series 2006/24, Center for Financial Studies (CFS).
- 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.
- repec:pjm:journl:v:xxii:y:2017:i:1:p:3-23 is not listed on IDEAS
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