HAL will be down for maintenance from Friday, June 10 at 4pm through Monday, June 13 at 9am. More information
Skip to Main content Skip to Navigation
Reports

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.
Document type :
Reports
Complete list of metadata

Cited literature [1 references]  Display  Hide  Download

https://hal.inria.fr/inria-00073591
Contributor : Rapport de Recherche Inria Connect in order to contact the contributor
Submitted on : Wednesday, May 24, 2006 - 1:16:30 PM
Last modification on : Thursday, February 3, 2022 - 11:18:28 AM
Long-term archiving on: : Sunday, April 4, 2010 - 11:51:13 PM

Identifiers

  • HAL Id : inria-00073591, version 1

Collections

Citation

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

Share

Metrics

Record views

99

Files downloads

184