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The Relevance of the Distributional Form of Common Stock Returns to the Construction of Optimal Portfolios: Comment
Published online by Cambridge University Press: 06 April 2009
Abstract
This paper points out errors in the stable variate generator used by Frankfurter and Lamoureux (1987) in a recent simulation study. The study was aimed at determining whether or not the assumption of the distributional form of stock returns is important in the construction of optimal portfolios.
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- Copyright © School of Business Administration, University of Washington 1989
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