volume 3, issue 2, P411-482 1997
DOI: 10.1017/s1357321700004992
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G.S. Finkelstein

Abstract: ABSTRACTThe paper examines the suitability of the stable family of distributions with the Maturity Guarantees Working Party's stochastic investment model (Ford et al, 1980). It then examines the effect of replacing the Gaussian assumption made by the working party with a more general stable distribution. It also explains how the appropriate stable distribution can be fitted.