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physics.soc-ph2005
Leptokurtic Portfolio Theory
Robert Kitt, Jaan Kalda
The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings due to non-Gaussian security returns are outline…
cond-mat.stat-mech2005
Scaling analysis of multivariate intermittent time series
Robert Kitt, Jaan Kalda
The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similarly to the asset prices, the trading volume data…