A Portfolio Selection Model Conditional on Non-normal Stable Distributions: Mean-scale Parameter Model
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

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.