Michael Grabchak, UNC Charlotte
Title: A Short Tutorial on Multivariate Stable Distributions
Abstract: Eugene Fama was awarded the Nobel prize in economics this year. He (along with Benoit Mandelbrot) pioneered the use of stable distributions in financial applications. I will define stable distributions and give some of their properties. I will then discuss a simple procedure for portfolio selection when all financial assets follow a multivariate stable distribution. This talk covers classical material and is particularly aimed at graduate students.