A Study On The Stable Distribution With The Application On The Portfolio Theory
碩士 === 國立東華大學 === 應用數學系 === 91 === In our work, we apply the stable law to the portfolio optimization problem. The feature of the stable distribution is its heavy tail which is heavier than the normal distribution. The stable distribution describes the change of stock price better than the...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/96094471884090715704 |