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Reports (Research Report) Year : 1997

How to Select Optimal Portfolio in Alpha-Stable Markets

Abstract

This paper generalizes the traditional Mean-Variance method in portfolio analysis when asset returns are assumed to be jointly stable. An $\alpha$-stable efficient frontier is computed and compared to the classical Gaussian one. The efficient frontier computed from this analysis model dominates the one defined in terms of the Markowitz portfolio selection model criterion.
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Dates and versions

inria-00073591 , version 1 (24-05-2006)

Identifiers

  • HAL Id : inria-00073591 , version 1

Cite

Lotfi Belkacem. How to Select Optimal Portfolio in Alpha-Stable Markets. [Research Report] RR-3100, INRIA. 1997. ⟨inria-00073591⟩
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