Stable Distribution with Application on Optimal Portfolio Selection
碩士 === 國立成功大學 === 統計學系碩博士班 === 95 === Portfolios are widely-used tool to diversify the risk. This thesis studied portfolio performances under sub-Gaussian stable distribution models and normal distribution models. The study indicated that the portfolios constructed by stable distribution gave higher...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/31668230875391403979 |