12.3 The single share returns vector (hypothetical) for Associated Dry Goods, Gimbel Brothers, and Sears, Roebuck and

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12.3 The single share returns vector (hypothetical) for Associated Dry Goods, Gimbel Brothers, and Sears, Roebuck and Company is found to follow a multivariate symmetric stable law of order 1, with scale matrix (see Section 12.4.2)

Find the efficient portfolio in a restricted Model I sense.

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Applied Multivariate Analysis

ISBN: 9780486442365

2nd Edition

Authors: S. James Press

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Question Posted: Oct 29, 2024 11:00 AM

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12.3 The single share returns vector (hypothetical) for Associated Dry Goods, Gimbel Brothers, and Sears, Roebuck and

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Applied Multivariate Analysis

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