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

Abstract

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).