TY - JOUR
T1 - Portfolio selection model conditional on non-normal stable distributions
T2 - mean-scale parameter model
AU - Xu, Xu Song
AU - Hou, Cheng Qi
PY - 2006/9
Y1 - 2006/9
N2 - Because empirical distributions of rates of return on risky securities have characters of skewness and excess kurtosis, this article puts forward studying portfolio selection model conditional on non-normal stable distributions. We find that fitness of returns on stocks to non-normal stable distributions in China stock market is very good by fitness test; study measurements of return and risk of a portfolio conditional on non-normal stable distributions and put forward mean-scale parameter model; find by empirical analysisthat mean-scale parameter model can explain asset allocation puzzle.
AB - Because empirical distributions of rates of return on risky securities have characters of skewness and excess kurtosis, this article puts forward studying portfolio selection model conditional on non-normal stable distributions. We find that fitness of returns on stocks to non-normal stable distributions in China stock market is very good by fitness test; study measurements of return and risk of a portfolio conditional on non-normal stable distributions and put forward mean-scale parameter model; find by empirical analysisthat mean-scale parameter model can explain asset allocation puzzle.
KW - Asset allocation puzzle
KW - Mean-scale parameter model
KW - Non-normal stable distribution
KW - Portfolio selection model
UR - http://www.scopus.com/inward/record.url?scp=33751073417&partnerID=8YFLogxK
M3 - Article
AN - SCOPUS:33751073417
SN - 1000-6788
VL - 26
SP - 1
EP - 9
JO - Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice
JF - Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice
IS - 9
ER -