Back to Search
Start Over
PORTFOLIO ANALYSIS IN A STABLE PARETIAN MARKET.
- Source :
- Management Science; Jan1965, Vol. 11 Issue 3, p404-419, 16p
- Publication Year :
- 1965
-
Abstract
- Recently evidence has come forth which suggests that empirical probability distributions of returns on securities conform better to stable Paretian distributions with infinite variances than to the normal distribution. Using a generalized form of a technique proposed by Sharpe [17] in a recent issue of this journal, this article develops a portfolio analysis model for a stable Paretian market. The article also shows the range of conditions under which diversification is a meaningful economic activity, even though probability distributions of returns on individual securities have infinite variances. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00251909
- Volume :
- 11
- Issue :
- 3
- Database :
- Complementary Index
- Journal :
- Management Science
- Publication Type :
- Academic Journal
- Accession number :
- 7030219
- Full Text :
- https://doi.org/10.1287/mnsc.11.3.404