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.

 
  • 摘要針對風(fēng)險證券收益率的經(jīng)驗分布所具有的偏態(tài)和過(guò)度峰態(tài)等非正態(tài)分布特征,提出在非正態(tài)穩定分布條件下研究投資組合模型。
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