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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
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).
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- Copyright © School of Business Administration, University of Washington 1989
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