haku: @journal_id 62 / yhteensä: 680
viite: 257 / 680
| Tekijä: | Frankfurter, G. M. Lamoureux, C. G. |
| Otsikko: | The relevance of the distributional form of common stock returns to the construction of optimal portfolios. |
| Lehti: | Journal of Financial and Quantitative Analysis
1987 : DEC, VOL. 22:4, p. 505-511 |
| Asiasana: | PORTFOLIO MANAGEMENT RATE OF RETURN |
| Kieli: | eng |
| Tiivistelmä: | We compare the robustness in application of the Gaussian assumption of securities distributions to the robustness of the general stable assumption. We use actual stock return data to simulate the real world and construct a stock market with stock returns conforming to a Gaussian distribution as well as to a stable Pareto-Levy distribution. Using these two sets of stock returns, we generate the efficient frontiers under both assumptions. We prove that the Gaussian assumption is superior to the general stable assumption. |
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