Portfolio Optimization: Distributional Approach

نویسندگان

  • Nadezhda Safronova
  • Isabella Huber
چکیده

This paper analyses the stable distributional approach for portfolio optimisation. We consider a portfolio optimization problem under the assumption of normal (Gaussian) and stable (nonGaussian) distributed asset returns. We compare the results of portfolio allocations in normal and stable cases.

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تاریخ انتشار 2005