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The Relevance of the Distributional Form of Common Stock Returns to the Construction of Optimal Portfolios: Comment

Published online by Cambridge University Press:  06 April 2009

Don B. Panton
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Abstract

This paper points out errors in the stable variate generator used by Frankfurter and Lamoureux (1987) in a recent simulation study. The study was aimed at determining whether or not the assumption of the distributional form of stock returns is important in the construction of optimal portfolios.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 24 , Issue 1 , March 1989 , pp. 129 - 130
Copyright
Copyright © School of Business Administration, University of Washington 1989

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References

Chambers, J. F.; Mallows, C. L.; and Stuck, B. W.. “A Method for Simulating Stable Random Variables.” Journal of the American Statistical Association, 71 (06 1976), 340–344.Google Scholar
Frankfurter, G. M., and Lamoureux, C. G.. “The Relevance of the Distributional Form of Common Stock Returns to the Construction of Optimal Portfolios.” Journal of Financial and Quantitative Analysis, 22 (12 1987), 505–511.CrossRefGoogle Scholar
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