Good and Bad News on Capital Market Return Ellipticity

摘要

Since the seminal paper of Owen and Rabinovitch (1983; "On the Class of Elliptical Distributions and Their Application to the Theory of Portfolio Choice." Journal of Finance 38 (3), 745-752) the key role played by elliptical distributions in financial modelling is well-known. The main property of this class of distributions is that they can be completely specified by the mean, the variance, and the density generator g that qualifies the specific family.