Computer Science and Information Technologies, Computer Science and Information Technologies 2006

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Closed-End Fund Puzzle with Stable Distributions
N. Safronova, E. Akhtiamova

Last modified: 2020-12-26


This paper discusses the close-end fund puzzle and proposes a modification of the overlapping generations model of an asset market in which noise trading or, investor sentiment , is a sourse of risk. We suggest to study the close-end fund puzzle under the condition that financial returns have stable non-Gaussian distribution assumption as compared with the normal one.


Stable Distributions; overlapping generations model; non-Gaussian distribution


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