Timeline for How does one analyze diversification if stock prices follow a Cauchy distribution?
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| Apr 13, 2017 at 12:46 | history | edited | CommunityBot |
replaced http://quant.stackexchange.com/ with https://quant.stackexchange.com/
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| Aug 4, 2011 at 19:10 | comment | added | Tal Fishman | @vonjd I'm sorry, I would have listed them if I could remember where I read this, but I do not. I believe the result is both to be expected, as a result of the central limit theorem, and also in part a consequence of long-horizon mean reversion, as shown by DeBondt and Thaler (1985). | |
| Aug 4, 2011 at 18:29 | comment | added | vonjd | Interesting! Could you give some references on the papers concerning convergence to the Gaussian in the long run? Thank you! | |
| Aug 4, 2011 at 16:04 | history | edited | Tal Fishman | CC BY-SA 3.0 |
added link to previous question #115
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| Aug 4, 2011 at 14:43 | history | answered | Tal Fishman | CC BY-SA 3.0 |