Heavy-tail Sensitivity of Stable Portfolios
This thesis documents a heavy-tailed analysis of stable portfolios. Stock market crashes occur more often than is predicted by a normal distribution,which provides empirical evidence that asset returns are heavy-tailed. The motivation of this thesis is to study the effects of heavy-tailed distributi...
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| Language: | en |
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2010
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| Online Access: | http://hdl.handle.net/10012/5427 |