Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 1-9 |
| Number of pages | 9 |
| Journal | Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice |
| Volume | 26 |
| Issue number | 9 |
| Publication status | Published - Sept 2006 |
| Externally published | Yes |
Keywords
- Asset allocation puzzle
- Mean-scale parameter model
- Non-normal stable distribution
- Portfolio selection model