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- W130231657 endingPage "594" @default.
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- W130231657 abstract "This chapter discusses the parametric distributions of asset returns and proposes portfolio choice models consistent with the maximization of the expected utility. We analyze multi-parameter models to select nonstochastically dominated portfolios when short sales are allowed and when short sales are not allowed. We also concentrate our attention on the stable distributional approach in order to derive optimal portfolios with heavy-tailed distributed financial returns. Finally, we examine and compare optimal allocations obtained with the multivariate normal model and the sub-Gaussian stable one." @default.
- W130231657 created "2016-06-24" @default.
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- W130231657 date "2003-01-01" @default.
- W130231657 modified "2023-10-14" @default.
- W130231657 title "Portfolio Choice Theory with Non-Gaussian Distributed Returns" @default.
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- W130231657 doi "https://doi.org/10.1016/b978-044450896-6.50016-9" @default.
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