摘要
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.
| 源语言 | 英语 |
|---|---|
| 页（从-至） | 1-9 |
| 页数 | 9 |
| 期刊 | Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice |
| 卷 | 26 |
| 期 | 9 |
| 出版状态 | 已出版 - 9月 2006 |
| 已对外发布 | 是 |
指纹
探究 'Portfolio selection model conditional on non-normal stable distributions: mean-scale parameter model' 的科研主题。它们共同构成独一无二的指纹。引用此
Xu, X. S., & Hou, C. Q. (2006). Portfolio selection model conditional on non-normal stable distributions: mean-scale parameter model. Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 26(9), 1-9.