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Portfolio Selection in the Presence of Heavy-Tailed Asset Returns

  • Toker Doganoglu
  • Stefan Mittnik
  • Svetlozar Rachev
Part of the Dynamic Modeling and Econometrics in Economics and Finance book series (DMEF, volume 4)

Abstract

We discuss the question of portfolio selection when the returns of the assets under consideration are characterized by a heavy-tailed distribution. As distributional assumption we consider the sub-Gaussian stable model and address the problems of estimation and portfolio optimization. The advantages for risk assessment when relaxing the normal assumption in favor of the heavy-tailed variant are illustrated empirically.

Keywords

Internal Model Optimal Portfolio Portfolio Selection Stable Model Capital Requirement 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2002

Authors and Affiliations

  • Toker Doganoglu
    • 1
  • Stefan Mittnik
    • 2
    • 3
  • Svetlozar Rachev
    • 4
    • 5
  1. 1.Center for Information and Network Economics, Institute of Statistics and EconometricsUniversity of KielGermany
  2. 2.Institute of Statistics and EconometricsUniversity of KielGermany
  3. 3.Center for Financial StudiesFrankfurtGermany
  4. 4.Chair of Statistics and EconometricsUniversity of KarlsruheGermany
  5. 5.Department of Statistics and Applied ProbabilityUniversity of California at Santa BarbaraUSA

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