CAPM (Capital Asset Pricing Model) with Stable Distribution
In the classical finance theory, the CAPM models are developed using the Gaussian framework, that is, weassume the vector of returns can be modeled using the multivariate normal distribution. However, it is foundempirically that typically the financial data, especially the returns of assets, are lep...
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| Format: | Article |
| Language: | English |
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Fakultas MIPA Universitas Jember
2010-07-01
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| Series: | Jurnal Ilmu Dasar |
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| Online Access: | https://jurnal.unej.ac.id/index.php/JID/article/view/98 |