It is commonly accepted that the distribution of returns on many financial assets is nonnormal. Mandelbrot  and Fama  proposed the α-stable distribution for modeling stock returns. In  we find that the geometric summation scheme provides a better model for univariate stock index data than various stable alternatives, including the α-stable model. Here we extend the geometric summation model to multivariate settings which allows us to model portfolios of financial assets.
Stock Return Weibull Distribution Asset Return Stable Distribution Bivariate Normal Distribution
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