Portfolio Choice Theory with Non-Gaussian Distributed Returns

By S. Ortobelli, Isabella Huber, Svetlozar T. Rachev, Eduardo S. Schwartz. 2003

47 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9899f44b96bc4587e3687b79c73d552ade298f09

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Frank J Fabozzi 3
2. Svetlozar T. Rachev
3. Rosella Giacometti
4. M. Bertocchi

In Finance

1. Frank J Fabozzi 3
2. Svetlozar T. Rachev
3. Rosella Giacometti
4. M. Bertocchi
5. Michele Leonardo Bianchi
6. Young Shin Kim

Citations in the corpus

• Portfolio Choice in Markets with Contagion (2012, unknown): “terature that has investigated the properties of optimal portfolios when asset returns can jump (see, e.g., Aase (1984), Jeanblanc-Picqu´e and Pontier (1990), Shirakawa (1990), Han and Rachev (2000), Ortobelli et al. (2003), Kallsen (2000), Carr et al. (2001), Liu et al.(2003), Das and Uppal(2004), ”
• Stable distributions in the Black–Litterman approach to asset allocation (2007, background): “Many recent papers (see Ortobelli et al. 2002a, b, Bertocchi et al. 2005) show that stable Paretian distributions are suitable for the autoregressive portfolio return process in the framework of the asset allocation problem over a fixed horizon.”