Simple Rules for Optimal Portfolio Selection in Stable Paretian Markets
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- repec:zbw:cfswop:wp200624 is not listed on IDEAS
- D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
- Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
- 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.
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"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.
- Toker Doganoglu & Christoph Hartz & Stefan Mittnik, 2006. "Portfolio Optimization wehn Risk Factors are Conditionally Varying and Heavy Tailed," CFS Working Paper Series 2006/24, Center for Financial Studies.
- 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.
- Maria Teresa Medeiros Garcia & Daniel Alexandre Bourdain Santos Borrego, 2018. "Calculating the Efficient Frontier for the Portuguese Stock Market," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 24(4), pages 339-349, November.
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"Estimation of stable distributions by indirect inference,"
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- Teresa Garcia & Daniel Borrego, 2017. "Markowitz Efficient Frontier And Capital Market Line – Evidence From The Portuguese Stock Market," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 22(1), pages 3-23.
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