Name
Abstract | ||
|---|---|---|
Summary The analysis of portfolio selection and capital market equilibrium problems involving multivariate lognormal distributions is impeded because this distribution is not closed under addition. To overcome this difficulty it is convenient to use the approximation that this sum is lognormal. Simulation and empirical tests and theoretical results lend support to the appropriateness of the approximation. This paper develops the necessary theory to determine whether such approximating functions are concave or at least quasiconcave and thus their analysis can proceed by standard methods. The characterizations, which involve explicit algebraic criteria related to the parameter values of the random variables and utility function, are evaluated using monthly and yearly stock price data. |
Year | DOI | Venue |
|---|---|---|
1985 | 10.1007/BF01920307 | Zeitschr. für OR |
Keywords | Field | DocType |
lognormal distribution,capital market,random variable,portfolio theory | Mathematical optimization,Random variable,Replicating portfolio,Modern portfolio theory,Quasiconvex function,Portfolio,Post-modern portfolio theory,Portfolio optimization,Log-normal distribution,Mathematics | Journal |
Volume | Issue | ISSN |
29 | 5 | 1432-5217 |
Citations | PageRank | References |
0 | 0.34 | 2 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Siegfried Schaible | 1 | 148 | 25.89 |
| W. T. Ziemba | 2 | 177 | 97.52 |