A Proposal of Portfolio Choice for Infinitely Divisible Distributions of Assets Returns
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References listed on IDEAS
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- Eugene F. Fama, 1965. "Portfolio Analysis in a Stable Paretian Market," Management Science, INFORMS, vol. 11(3), pages 404-419, January.
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Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
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More about this item
Keywords
portfolio analysis; Lévy processes; jump-diffusion models;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
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