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How to Select Optimal Portfolio in Alpha-Stable Markets

Abstract : This paper generalizes the traditional Mean-Variance method in portfolio analysis when asset returns are assumed to be jointly stable. An $\alpha$-stable efficient frontier is computed and compared to the classical Gaussian one. The efficient frontier computed from this analysis model dominates the one defined in terms of the Markowitz portfolio selection model criterion.
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https://hal.inria.fr/inria-00073591
Contributor : Rapport de Recherche Inria <>
Submitted on : Wednesday, May 24, 2006 - 1:16:30 PM
Last modification on : Friday, May 25, 2018 - 12:02:05 PM
Long-term archiving on: : Sunday, April 4, 2010 - 11:51:13 PM

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  • HAL Id : inria-00073591, version 1

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Lotfi Belkacem. How to Select Optimal Portfolio in Alpha-Stable Markets. [Research Report] RR-3100, INRIA. 1997. ⟨inria-00073591⟩

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