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- W2766432874 abstract "This paper discusses two optimal allocation problems. We consider different hypotheses of portfolio selection with stable distributed returns for each of them. In particular, we study the optimal allocation between a riskless return and risky stable distributed returns. Furthermore, we examine and compare the optimal allocation obtained with the Gaussian and the stable non-Gaussian distributional assumption for the risky return. KEY WORDS: optimal allocation, stochastic dominance, risk aversion, measure of risk, a stable distribution, domain of attraction, sub-Gaussian stable distributed, fund separation, normal distribution, mean variance analysis, safety-first analysis." @default.
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- W2766432874 date "2000-01-01" @default.
- W2766432874 modified "2023-09-25" @default.
- W2766432874 title "The Problem of Optimal Asset Allocation with Stable Distributed Returns - eScholarship" @default.
- W2766432874 hasPublicationYear "2000" @default.
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