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Portfolio Analysis in a Stable Paretian Market

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Cited by:

  1. 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.
  2. 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.
  3. 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.
  4. Philipp N. Baecker, 2007. "Real Options and Intellectual Property," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-48264-2, December.
  5. 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.
  6. Phoebe Koundouri & Nikolaos Kourogenis & Nikitas Pittis, 2012. "Statistical Modeling of Stock Returns: A Historical Survey with Methodological Reflections," DEOS Working Papers 1226, Athens University of Economics and Business.
  7. 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.
  8. 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.
  9. Abanto-Valle, C.A. & Bandyopadhyay, D. & Lachos, V.H. & Enriquez, I., 2010. "Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 2883-2898, December.
  10. Savaş Tarkun & Mehmet Çınar, 2024. "Bubble Spillover of Assets: Evidence from the Exchange Rates of Some Newly Industrialized Countries," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(41), pages 22-33, December.
  11. 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.
  12. Baruník, Jozef & Kurka, Josef, 2024. "Risks of heterogeneously persistent higher moments," International Review of Financial Analysis, Elsevier, vol. 96(PA).
  13. 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.
  14. 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.
  15. Meager, Rachael & Sturdy, Jennifer, 2017. "Aggregating Distributional Treatment Effects: A Bayesian Hierarchical Analysis of the Microcredit Literature," MetaArXiv 7tkvm, Center for Open Science.
  16. Christian Walter, 1999. "Lévy-stability-under-addition and fractal structure of markets: Implications for the investment management industry and emphasized examination of MATIF notional contract," Post-Print hal-04578307, HAL.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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).
  22. repec:osf:metaar:7tkvm_v1 is not listed on IDEAS
  23. Christian Walter, 2005. "La gestion indicielle et la théorie des moyennes," Revue d'Économie Financière, Programme National Persée, vol. 79(2), pages 113-136.
  24. Paola Stolfi & Mauro Bernardi & Lea Petrella, 2018. "The sparse method of simulated quantiles: An application to portfolio optimization," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(3), pages 375-398, August.
  25. 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.
  26. Jangho Yang & Torsten Heinrich & Julian Winkler & François Lafond & Pantelis Koutroumpis & J. Doyne Farmer, 2025. "Measuring productivity dispersion: a parametric approach using the Lévy alpha-stable distribution," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, vol. 34(1), pages 79-117.
  27. 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.
  28. Elton, Edwin J. & Gruber, Martin J., 1997. "Modern portfolio theory, 1950 to date," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1743-1759, December.
  29. Lombardi, Marco J. & Veredas, David, 2009. "Indirect estimation of elliptical stable distributions," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2309-2324, April.
  30. De Giovanni, Domenico & Ortobelli, Sergio & Rachev, Svetlozar, 2008. "Delta hedging strategies comparison," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1615-1631, March.
  31. 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.
  32. Asmussen, Søren & Avram, Florin & Pistorius, Martijn R., 2004. "Russian and American put options under exponential phase-type Lévy models," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 79-111, January.
  33. Garcia, René & Renault, Eric & Veredas, David, 2011. "Estimation of stable distributions by indirect inference," Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.
  34. Yaniv Konchitchki & Yan Luo & Mary L. Z. Ma & Feng Wu, 2016. "Accounting-based downside risk, cost of capital, and the macroeconomy," Review of Accounting Studies, Springer, vol. 21(1), pages 1-36, March.
  35. Matteo Bonato, 2012. "Modeling fat tails in stock returns: a multivariate stable-GARCH approach," Computational Statistics, Springer, vol. 27(3), pages 499-521, September.
  36. 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.
  37. 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 -.
  38. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
  39. 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.
  40. Alfred Muller, 2024. "Some remarks on the effect of risk sharing and diversification for infinite mean risks," Papers 2411.10139, arXiv.org, revised Mar 2025.
  41. 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.
  42. repec:dau:papers:123456789/6326 is not listed on IDEAS
  43. 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.
  44. 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.
  45. Jonathan B. Hill, 2004. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application," Econometrics 0411014, University Library of Munich, Germany, revised 04 Nov 2005.
  46. 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.
  47. Drama Bedi Guy HERVE & Yao SHEN, 2010. "Management Of Stock Price And Its Effect On Economic Growth: Case Study Of West African Financial Markets," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 5(3(13)/Fal), pages 231-246.
  48. 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.
  49. 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.
  50. Kliber, Pawel, 2008. "A Proposal of Portfolio Choice for Infinitely Divisible Distributions of Assets Returns," MPRA Paper 22541, University Library of Munich, Germany.
  51. 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.
  52. 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.
  53. Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 143-167, February.
  54. Samiran Jana, 2016. "Effect of Investors’ Sentiment on Indian Stock Market," Global Business Review, International Management Institute, vol. 17(5), pages 1240-1249, October.
  55. Carlos A. Abanto-Valle & Hernán B. Garrafa-Aragón, 2019. "Threshold Stochastic Volatility Models with Heavy Tails:A Bayesian Approach," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 42(83), pages 32-53.
  56. Fofack, Hippolyte & Nolan, John P., 2001. "Distribution of parallel exchange rates in African countries," Journal of International Money and Finance, Elsevier, vol. 20(7), pages 987-1001, December.
  57. 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.
  58. Christian Walter, 2001. "Searching for scaling laws in distributional properties of price variations: a review over 40 years," Post-Print hal-04567942, HAL.
  59. 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.
  60. 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).
  61. Bai, Zhidong & Liu, Huixia & Wong, Wing-Keung, 2016. "Making Markowitz's Portfolio Optimization Theory Practically Useful," MPRA Paper 74360, University Library of Munich, Germany.
  62. 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.
  63. Ibragimov, Rustam & Jaffee, Dwight & Walden, Johan, 2011. "Diversification disasters," Journal of Financial Economics, Elsevier, vol. 99(2), pages 333-348, February.
  64. 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.
  65. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
  66. 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.
  67. 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.
  68. 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.
  69. 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.
  70. Chaker Aloui, 2003. "Long-Range Dependence in Daily Volatility on Tunisian Stock Market," Working Papers 0340, Economic Research Forum, revised Dec 2003.
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