| Title |
Stabilieji skirstiniai finansų rinkų modeliavime / |
| Translation of Title |
Stable distributions in finance markets modeling. |
| Authors |
Šakytė, Edita |
| Full Text |
|
| Pages |
48 |
| Keywords [eng] |
stable distribution ; efficient portfolio ; efficient frontier |
| Abstract [eng] |
Stable distributions are a rich class of probability distributions that allow skewness and heavy tails. The lack of closed formulas for densities and distribution functions for all distributions (except Gaussian, Cauchy and Levy distributions) is the major drawback. There is an overview of the stable distributions and their applications in finance markets at the beginning of this paper. There are described basic properties of stable distributions, estimation algorithms and optimal asset allocation and stable computation of Value at Risk in the first part of the work. We analyze an investment allocation problems in this work. We consider as the risk measure the estimate of scale parameter (in the stable case) or the expected value of absolute deviation divided by square root of 2 (in Gaussian case). We examine the optimal allocation between seventeen risky assets with normal or stable distributed returns and then we compare the allocation obtained under the Gaussian and stable distributional assumptions. We show that there are differences in the allocation when the data follow the stable non-Gaussian and the normal distribution. |
| Type |
Master thesis |
| Language |
Lithuanian |
| Publication date |
2007 |
