Add to ORKGthis paper should provide a more useful and realistic class of distributions for portfolio modeling. The more general case where the number of summands has an arbitrary distribution is discussed in a companion paper [18]. The focus of this paper on geometric summation allows a simpler treatment, and more complete result
AbstractThe fact that geo-stable distributions do not have an explicit representation causes severe ...
AbstractWe present a new method for computer simulation of strictly geometric stable random variable...
Abstract. The aim of this article is to study geometric F-semistable and geometric F-stable distribu...
Operator geometric stable laws are the weak limits of operator normed and centered geometric random ...
AbstractOperator geometric stable laws are the weak limits of operator normed and centered geometric...
Abstract. Let (Xi) be a sequence of i.i.d. random variables, and let N be a geometric random variabl...
Stable laws and processes, geometric-stable laws, geometric domains of attraction,
In the present contribution, we consider the present value of a series of cash flows under stochasti...
AbstractThis paper is devoted to the theory and application of multidimensional stable distributions...
In this paper we discuss the relevancy of the geometric mean as a portfolio selection criteria. A pr...
AbstractOperator-stable laws and operator-semistable laws (introduced as limit distributions by M. S...
A generalized multivariate problem due to V. M. Zolotarev is considered. Some related results on geo...
The aim of this article is to study geometric F-semistable and geometric F-stable distributions on t...
This is the first book specifically devoted to a systematic exposition of the essential facts known ...
The integration of quantitative asset allocation models and the judgment of portfolio managers and a...
AbstractThe fact that geo-stable distributions do not have an explicit representation causes severe ...
AbstractWe present a new method for computer simulation of strictly geometric stable random variable...
Abstract. The aim of this article is to study geometric F-semistable and geometric F-stable distribu...
Operator geometric stable laws are the weak limits of operator normed and centered geometric random ...
AbstractOperator geometric stable laws are the weak limits of operator normed and centered geometric...
Abstract. Let (Xi) be a sequence of i.i.d. random variables, and let N be a geometric random variabl...
Stable laws and processes, geometric-stable laws, geometric domains of attraction,
In the present contribution, we consider the present value of a series of cash flows under stochasti...
AbstractThis paper is devoted to the theory and application of multidimensional stable distributions...
In this paper we discuss the relevancy of the geometric mean as a portfolio selection criteria. A pr...
AbstractOperator-stable laws and operator-semistable laws (introduced as limit distributions by M. S...
A generalized multivariate problem due to V. M. Zolotarev is considered. Some related results on geo...
The aim of this article is to study geometric F-semistable and geometric F-stable distributions on t...
This is the first book specifically devoted to a systematic exposition of the essential facts known ...
The integration of quantitative asset allocation models and the judgment of portfolio managers and a...
AbstractThe fact that geo-stable distributions do not have an explicit representation causes severe ...
AbstractWe present a new method for computer simulation of strictly geometric stable random variable...
Abstract. The aim of this article is to study geometric F-semistable and geometric F-stable distribu...