Work

The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach

Year: 2003

Type: article

Source: Journal of Economic Dynamics and Control

DOI: 10.1016/s0165-1889(02)00050-7

Authors: Yesim Tokat, Svetlozar T. Rachev, Eduardo S. Schwartz

Institutions: University of California, Santa Barbara, Karlsruhe Institute of Technology, University of California, Los Angeles

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W1990549299

FWCI: 7.048

Cites: 93

Cited by: 54

Related to: 10