Portfolio management with stable distributions

Svetlozar Rachev, Seonkoo Han

Research output: Contribution to journal › Article

13 Scopus citations

Abstract

The aim of this short review is to outline the main directions of stable Paretian modeling in portfolio management.

Original languageEnglish
Pages (from-to)341-352
Number of pages12
JournalMathematical Methods of Operations Research
Volume51
Issue number2
DOIs
StatePublished - 2000

Keywords

  • Optimization
  • Portfolio management
  • Stable ditributions

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