Because empirical distributions of rates of return on risky securities have characters of skewness and excess kurtosis, this article puts forward studying portfolio selection model conditional on non-normal stable distributions.
Because empirical distributions of rates of return on risky securities have characters of skewness and excess kurtosis, this article puts forward studying portfolio selection model conditional on non-normal stable distributions.
摘要针对风险证券收益率的经验分布所具有的偏态和过度峰态等非正态分布特征，提出在非正态稳定分布条件下研究投资组合模型。