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most citedA two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes

3 citations · 6 across the 3 of their papers we have counts for

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cond-mat.stat-mech2002★ 3 cited

Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets

Y. Malevergne, D. Sornette

We introduce a new set of consistent measures of risks, in terms of the semi-invariants of pdf's, such that the centered moments and the cumulants of the portfolio distribution of…