6 citations · 6 across the 2 of their papers we have counts for
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physics.soc-ph2006★ 6 cited
Self-Consistent Asset Pricing Models
Y. Malevergne, D. Sornette
We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) co…
physics.soc-ph2003
VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions
Y. Malevergne, D. Sornette
Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their m…