<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>1665-5346</journal-id>
<journal-title><![CDATA[Revista mexicana de economía y finanzas]]></journal-title>
<abbrev-journal-title><![CDATA[Rev. mex. econ. finanz]]></abbrev-journal-title>
<issn>1665-5346</issn>
<publisher>
<publisher-name><![CDATA[Instituto Mexicano de Ejecutivos de Finanzas A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1665-53462021000400009</article-id>
<article-id pub-id-type="doi">10.21919/remef.v16i4.533</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Portafolios &#945;-estables del G20: Evidencia empírica con Markowitz, Tobin y CAPM]]></article-title>
<article-title xml:lang="en"><![CDATA[G20 &#945;-stable portfolios: Empirical evidence with Markowitz, Tobin and CAPM]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Climent Hernández]]></surname>
<given-names><![CDATA[José Antonio]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Sánchez Arzate]]></surname>
<given-names><![CDATA[Gabino]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Ortiz Ramírez]]></surname>
<given-names><![CDATA[Ambrosio]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Autónoma Metropolitana  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Instituto Politécnico Nacional  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>12</month>
<year>2021</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>12</month>
<year>2021</year>
</pub-date>
<volume>16</volume>
<numero>4</numero>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462021000400009&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462021000400009&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462021000400009&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen Objetivo: Esta investigación extiende los portafolios de Markowitz, Tobin, y el CAPM con procesos &#945;-estables. Metodología: son realizados los siguientes procedimientos en un portafolio con los índices bursátiles del G20: 1) son estimados los estadísticos descriptivos y los parámetros &#945;-estables de los rendimientos, 2) es aplicada una prueba de bondad de ajuste para validar los procesos &#945;-estables, 3) es estimada la matriz de covariación para calcular las asignaciones de los portafolios, y 4) son estimados los indicadores de riesgo sistemático. Resultados: La frontera eficiente es calculada sin ventas en corto y muestra que los portafolios &#945;-estables presentan mayor aversión al riesgo que los portafolios gaussianos, y que los portafolios &#945;-estables son más eficientes con respecto a la relación rendimiento y riesgo. Recomendaciones: La aplicación de procesos &#945;-estables para modelar la leptocurtosis, la asimetría y los cúmulos de volatilidad. Limitaciones: El análisis multivariado &#945;-estable presenta diferentes parámetros de estabilidad. Originalidad: Los rendimientos del G20 son modelados con procesos &#945;-estables y es realizado un análisis de sensibilidad. Conclusión: El análisis &#945;-estable permite cuantificar el riesgo de mercado más adecuadamente que el análisis gaussiano.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract Objective: This research extends Markowitz, Tobin, and CAPM optimal portafolio with &#945;-stable processes. Methodology: The following procedures are performed on a portfolio with the G20 stock indices: 1) descriptive statistics and &#945;-stable parameters of index returns are estimated, 2) a goodness-of-fit test is applied to validate the &#945;- stable processes, 3) the covariation matrix is estimated to calculate the optimal portfolio assignments, and 4) the systematic risk indicators are estimated. Results: The efficient frontier is calculated without short sales and shows that &#945;-stable portfolios present greater aversion to risk than Gaussian portfolios, and that &#945;-stable portfolios are more efficient with respect to the return and risk ratio. Recommendations: The application of &#945;-stable processes to model leptokurtosis, asymmetry and volatility clusters. Limitations: The &#945;-stable multivariate analysis presents different stability parameters. Originality: G20 returns are modeled with &#945;-stable processes and a sensitivity analysis is performed. Conclusion: &#945;-stable analysis allows to quantify market risk more adequately than Gaussian analysis.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Portafolio óptimo]]></kwd>
<kwd lng="es"><![CDATA[medida de riesgo]]></kwd>
<kwd lng="es"><![CDATA[distribuciones &#945;-estables]]></kwd>
<kwd lng="en"><![CDATA[Optimal portfolio]]></kwd>
<kwd lng="en"><![CDATA[risk measure]]></kwd>
<kwd lng="en"><![CDATA[&#945;-stable distributions]]></kwd>
</kwd-group>
</article-meta>
</front><back>
<ref-list>
<ref id="B1">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Broda]]></surname>
<given-names><![CDATA[S. A.]]></given-names>
</name>
<name>
<surname><![CDATA[Krause]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
<name>
<surname><![CDATA[Paolella]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Approximating expected shortfall for heavy-tailed distributions]]></article-title>
<source><![CDATA[Econometrics and Statistics]]></source>
<year>2018</year>
<volume>8</volume>
<page-range>184-203</page-range></nlm-citation>
</ref>
<ref id="B2">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Bianchi]]></surname>
<given-names><![CDATA[M. L.]]></given-names>
</name>
<name>
<surname><![CDATA[Rachev]]></surname>
<given-names><![CDATA[S. T.]]></given-names>
</name>
<name>
<surname><![CDATA[Fabozzi]]></surname>
<given-names><![CDATA[F. J.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models]]></article-title>
<source><![CDATA[Computational Economics]]></source>
<year>2016</year>
<volume>51</volume>
<page-range>339-78</page-range></nlm-citation>
</ref>
<ref id="B3">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Bianchi]]></surname>
<given-names><![CDATA[M. L.]]></given-names>
</name>
<name>
<surname><![CDATA[Stoyanov]]></surname>
<given-names><![CDATA[S. V.]]></given-names>
</name>
<name>
<surname><![CDATA[Luca]]></surname>
<given-names><![CDATA[T. G.]]></given-names>
</name>
<name>
<surname><![CDATA[Fabozzi]]></surname>
<given-names><![CDATA[F. J.]]></given-names>
</name>
<name>
<surname><![CDATA[Focardi]]></surname>
<given-names><![CDATA[M. S.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[A Portfolio Selection Analysis with Non-Gaussian Models]]></article-title>
<source><![CDATA[Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management]]></source>
<year>2019</year>
<page-range>433-61</page-range><publisher-name><![CDATA[World Scientific Publishing Co. Pte. Ltd]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B4">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Chi]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
<name>
<surname><![CDATA[Ren]]></surname>
<given-names><![CDATA[X.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Multi-objective loan portfolio optimization model based on stable distribution]]></article-title>
<source><![CDATA[Xitong Gongcheng Lilun Yu Shijian System Engineering Theory and Practice]]></source>
<year>2020</year>
<volume>40</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>905-14</page-range></nlm-citation>
</ref>
<ref id="B5">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Climent Hernández]]></surname>
<given-names><![CDATA[J. A.]]></given-names>
</name>
<name>
<surname><![CDATA[Venegas Martínez]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Valuación de opciones sobre subyacentes con rendimientos &#945;-estables]]></article-title>
<source><![CDATA[Contaduría y Administración]]></source>
<year>2013</year>
<volume>58</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>119-50</page-range></nlm-citation>
</ref>
<ref id="B6">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Climent Hernández]]></surname>
<given-names><![CDATA[J. A.]]></given-names>
</name>
<name>
<surname><![CDATA[Venegas Martínez]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
<name>
<surname><![CDATA[Ortiz Arango]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Portafolio óptimo y productos estructurados en mercados &#945;-estables: un enfoque de minimización de riesgo]]></article-title>
<source><![CDATA[Revista Nicolaíta de Estudios Económicos]]></source>
<year>2015</year>
<volume>X</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>81-106</page-range></nlm-citation>
</ref>
<ref id="B7">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Climent Hernández]]></surname>
<given-names><![CDATA[J. A.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Portafolios de dispersión mínima con rendimientos log-estables]]></article-title>
<source><![CDATA[Revista Mexicana de Economía y Finanzas]]></source>
<year>2017</year>
<volume>12</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>49-69</page-range></nlm-citation>
</ref>
<ref id="B8">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Contreras Piedragil]]></surname>
<given-names><![CDATA[C. E.]]></given-names>
</name>
<name>
<surname><![CDATA[Venegas Martínez]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Valuación de opciones sobre activos subyacentes con distribuciones estables]]></article-title>
<source><![CDATA[Estocástica: Finanzas y Riesgos]]></source>
<year>2011</year>
<volume>1</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>55-71</page-range></nlm-citation>
</ref>
<ref id="B9">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Fama]]></surname>
<given-names><![CDATA[E.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Mandelbrot and the stable paretian hypothesis]]></article-title>
<source><![CDATA[Journal of Business]]></source>
<year>1963</year>
<volume>36</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>420-9</page-range></nlm-citation>
</ref>
<ref id="B10">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Fama]]></surname>
<given-names><![CDATA[E.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Portfolio analysis in a stable paretian market]]></article-title>
<source><![CDATA[Management Science]]></source>
<year>1965</year>
<volume>11</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>404-19</page-range></nlm-citation>
</ref>
<ref id="B11">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Fama]]></surname>
<given-names><![CDATA[E.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The behavior of stock market prices]]></article-title>
<source><![CDATA[Journal of Business]]></source>
<year>1965</year>
<volume>38</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>34-105</page-range></nlm-citation>
</ref>
<ref id="B12">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Giacometti]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Bertocchi]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Rachev]]></surname>
<given-names><![CDATA[S. T.]]></given-names>
</name>
<name>
<surname><![CDATA[Fabozzi]]></surname>
<given-names><![CDATA[F. J.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Stable distributions in the Black-Litterman allocation approach to asset]]></article-title>
<source><![CDATA[Quantitative Finance]]></source>
<year>2007</year>
<volume>7</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>423-33</page-range></nlm-citation>
</ref>
<ref id="B13">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Gong]]></surname>
<given-names><![CDATA[X.]]></given-names>
</name>
<name>
<surname><![CDATA[Zhuang]]></surname>
<given-names><![CDATA[X.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes]]></article-title>
<source><![CDATA[North American Journal of Economics and Finance]]></source>
<year>2017</year>
<volume>40</volume>
<page-range>148-59</page-range></nlm-citation>
</ref>
<ref id="B14">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Kr&#281;&#380;o&#322;ek]]></surname>
<given-names><![CDATA[D.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The application of alpha-stable distributions in portfolio selection problem - the case of metal market]]></article-title>
<source><![CDATA[Studia Ekonomiczne]]></source>
<year>2015</year>
<volume>247</volume>
<page-range>57-68</page-range></nlm-citation>
</ref>
<ref id="B15">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Lintner]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets]]></article-title>
<source><![CDATA[Review of Economics and Statistics]]></source>
<year>1965</year>
<volume>47</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>13-37</page-range></nlm-citation>
</ref>
<ref id="B16">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Mandelbrot]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The variation of certain speculative prices]]></article-title>
<source><![CDATA[Journal of Business]]></source>
<year>1963</year>
<volume>36</volume>
<numero>4</numero>
<issue>4</issue>
<page-range>394-419</page-range></nlm-citation>
</ref>
<ref id="B17">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Mandelbrot]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
<name>
<surname><![CDATA[Taylor]]></surname>
<given-names><![CDATA[H. M.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[On the distribution of stock price differences]]></article-title>
<source><![CDATA[Operations Research]]></source>
<year>1967</year>
<volume>15</volume>
<numero>6</numero>
<issue>6</issue>
<page-range>1057-62</page-range></nlm-citation>
</ref>
<ref id="B18">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Markowitz]]></surname>
<given-names><![CDATA[H.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Portfolio Selection]]></article-title>
<source><![CDATA[The Journal of Finance]]></source>
<year>1952</year>
<volume>7</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>77-91</page-range></nlm-citation>
</ref>
<ref id="B19">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Mossin]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Equilibrium in a capital asset market]]></article-title>
<source><![CDATA[Econometrica: Journal of the econometric society]]></source>
<year>1966</year>
<volume>34</volume>
<page-range>768-83</page-range></nlm-citation>
</ref>
<ref id="B20">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Ortobelli]]></surname>
<given-names><![CDATA[S. L.]]></given-names>
</name>
<name>
<surname><![CDATA[Huber]]></surname>
<given-names><![CDATA[I.]]></given-names>
</name>
<name>
<surname><![CDATA[Schwartz]]></surname>
<given-names><![CDATA[E. S.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Portfolio selection with stable distributed returns]]></article-title>
<source><![CDATA[Mathematics Methods of Operations Research]]></source>
<year>2002</year>
<page-range>265-300</page-range></nlm-citation>
</ref>
<ref id="B21">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Ortobelli]]></surname>
<given-names><![CDATA[S. L.]]></given-names>
</name>
<name>
<surname><![CDATA[Rachev]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
<name>
<surname><![CDATA[Schwartz]]></surname>
<given-names><![CDATA[E. S.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The problem of optimal asset allocation with stable distributed returns]]></article-title>
<source><![CDATA[Stochastic Processes and Functional Analysis]]></source>
<year>2004</year>
<volume>238</volume>
<page-range>295-347</page-range></nlm-citation>
</ref>
<ref id="B22">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Ortobelli]]></surname>
<given-names><![CDATA[S. L.]]></given-names>
</name>
<name>
<surname><![CDATA[Biglova]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Huber]]></surname>
<given-names><![CDATA[I.]]></given-names>
</name>
<name>
<surname><![CDATA[Racheva]]></surname>
<given-names><![CDATA[B.]]></given-names>
</name>
<name>
<surname><![CDATA[Stoyanov]]></surname>
<given-names><![CDATA[S.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Portafolio choice with heavy tailed distributions]]></article-title>
<source><![CDATA[Journal of Concrete and Applicable Mathematics]]></source>
<year>2005</year>
<volume>3</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>353-76</page-range></nlm-citation>
</ref>
<ref id="B23">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Samorodnitsky]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
<name>
<surname><![CDATA[Taqqu]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
</person-group>
<source><![CDATA[Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance]]></source>
<year>1994</year>
<edition>First</edition>
<publisher-name><![CDATA[Chapman and Hall]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B24">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Sánchez Arzate]]></surname>
<given-names><![CDATA[G.]]></given-names>
</name>
</person-group>
<source><![CDATA[Portafolios con distribuciones alpha estables]]></source>
<year>2019</year>
<publisher-loc><![CDATA[México ]]></publisher-loc>
<publisher-name><![CDATA[Instituto Politécnico Nacional]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B25">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Sharpe]]></surname>
<given-names><![CDATA[W. F.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Capital asset prices: A theory of market equilibrium under conditions of risk]]></article-title>
<source><![CDATA[The Journal of Finance]]></source>
<year>1964</year>
<volume>19</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>425-42</page-range></nlm-citation>
</ref>
<ref id="B26">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Tobin]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Liquidity preference as behavior towards risk]]></article-title>
<source><![CDATA[The Review of Economic Studies]]></source>
<year>1958</year>
<volume>25</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>65-86</page-range></nlm-citation>
</ref>
<ref id="B27">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Venegas Martínez]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
</person-group>
<source><![CDATA[Riesgos financieros y económicos: productos derivados y decisiones económicas bajo incertidumbre]]></source>
<year>2008</year>
<edition>Segunda</edition>
<publisher-name><![CDATA[Cengage Learning Latin America]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B28">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Wesselhöfft]]></surname>
<given-names><![CDATA[N.]]></given-names>
</name>
<name>
<surname><![CDATA[Härdle]]></surname>
<given-names><![CDATA[W. K.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Risk-Constrained Kelly portfolios under alpha-stable laws]]></article-title>
<source><![CDATA[Computational Economics]]></source>
<year>2020</year>
<volume>55</volume>
<page-range>801-26</page-range></nlm-citation>
</ref>
<ref id="B29">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Zagst]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Reuss]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Olivares]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
<name>
<surname><![CDATA[Seco]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Risk management and portfolio selection using &#61537;-stable regime switching models]]></article-title>
<source><![CDATA[Applied Mathematical Sciences]]></source>
<year>2016</year>
<volume>10</volume>
<page-range>549-82</page-range></nlm-citation>
</ref>
</ref-list>
</back>
</article>
