The DOI matches its Crossref record.
Portfolio Analysis in a Stable Paretian Market
Abstract
Recently evidence has come forth which suggests that empirical probability distributions of returns on securities conform better to stable Paretian distributions with infinite variances than to the normal distribution. Using a generalized form of a technique proposed by Sharpe [17] in a recent issue of this journal, this article develops a portfolio analysis model for a stable Paretian market. The article also shows the range of conditions under which diversification is a meaningful economic activity, even though probability distributions of returns on individual securities have infinite variances.
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Citations
Cited by
Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios
Jensen, M. C. (1969) · The Journal of Business · doi:10.1086/295182 · Cited by 942
Metadata
- Authors
- Fama, E. F.
- Venue
- Management Science
- Published
- 1965-01
- Volume
- 11
- Issue
- 3
- Pages
- 404-419
- ISSN
- 0025-1909 (ISSN-L)
- 1526-5501
- OpenAlex
- W2141863469
- Cited by
- 468
- References
- 0
- FWCI
- 3.27
- Type
- journal article
- Language
- en
- Open access
- closed
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- Fama, E. F. (1965). Portfolio Analysis in a Stable Paretian Market. Management Science. https://doi.org/10.1287/mnsc.11.3.404
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
