%0 Journal Article
%T A Portfolio Selection Model Conditional on Non-normal Stable Distributions: Mean-scale Parameter Model<br>非正态稳定分布条件下的投资组合模型:均值2尺度参数模型
%A XU Xu-song
%A HOU Cheng-qi
%A <br>徐绪松
%A 侯成琪
%J 系统工程理论与实践
%D 2006
%I 
%X 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.We find that fitness of returns on stocks to non-normal stable distributions in China stock market is very good by fitness test;study measurements of return and risk of a portfolio conditional on non-normal stable distributions and put forward mean-scale parameter model;find that mean-scale parameter model can explain asset allocation puzzle by empirical analysis.
%K non-normal stable distribution
%K portfolio selection model
%K mean-scale parameter model
%K asset allocation puzzle<br>非正态稳定分布
%K 投资组合模型
%K 均值-尺度参数模型
%K 资产配置之谜
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=DF236C6D42D592CD&yid=37904DC365DD7266&vid=96C778EE049EE47D&iid=9CF7A0430CBB2DFD&sid=CA4FD0336C81A37A&eid=9CF7A0430CBB2DFD&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=2&reference_num=26