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The Relevance of the Distributional Form of Common Stock Returns to the Construction of Optimal Portfolios: Reply

Published online by Cambridge University Press:  06 April 2009

G. M. Frankfurter  and
C. G. Lamoureux
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Extract

We are grateful to Don Panton (1989) for pointing out a problem with the IMSL version 9 of the pseudo-random number simulator, GGSTA, written by Chambers, Mallows, and Stuck (1976), which we used in (1987).

As Panton (1989) points out, the correction:

(a) may or may not materially affect the simulation per se, and/or

(b) may or may not materially affect our inferences (drawn from the simulation methodology).

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 24 , Issue 1 , March 1989 , pp. 131
Copyright
Copyright © School of Business Administration, University of Washington 1989

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References

Chambers, J. M.; Mallows, C. L.; and Stuck, C. W.. “A Method for Simulating Stable Random Variables.” Journal of the American Statistical Association, 71 (06 1976), 340–344.CrossRefGoogle Scholar
Frankfurter, G. M., and Lamoureux, C. G.. “The Relevance of the Distributional Form of Common Stock Returns to the Construction of Optimal Portfolios.” Journal of Financial and Quantitative Analysis, 22 (12 1987), 505–511.CrossRefGoogle Scholar
Panton, D. “The Relevance of the Distributional Form of Common Stock Returns to the Construction of Optimal Portfolios: Comment.’ Journal of Financial and Quantitative Analysis, 24 (03 1989), 129–130.CrossRefGoogle Scholar