Financial modeling with heavy-tailed stable distributions-Reference-Cited by-同舟云学术

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Financial modeling with heavy-tailed stable distributions

Published:2013-12-21 Issue:1 Volume:6 Page:45-55
ISSN:1939-5108
Container-title:Wiley Interdisciplinary Reviews: Computational Statistics
language:en
Short-container-title:WIREs Comput Stat

Author:

Nolan John P.¹

Affiliation:

1. Department of Mathematics and Statistics; American University; Washington DC USA

Funder

Cornell University, Operations Research & Information Engineering

Army Research Development and Engineering Command

Publisher

Wiley

Subject

Statistics and Probability

Reference36 articles.

1. Frontiers of Modern Asset Allocation

2. The variation of certain speculative prices;Mandelbrot;J Bus,1963

3. Efficient portfolio selection for Pareto-Lévy investments;Samuelson;J Finance Quant Anal,1967

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