This paper discusses and analyzes some portfolio allocation problems with autoregressive processes. Firstly, we examine the distributional behaviour of some international indexes. Then, we propose an AR(1)-GARCH(1,1) model to describe the evolution of the portfolio returns over time. In particular, we assume that investors wish to maximize some expected utility functionals of final wealth and we evaluate the impact of different distributional hypotheses on investor's choices. Finally, we describe the properties of some optimal choices.
(2005). The Impact of Different Distributional Hypothesis on Returns in Asset Allocation [journal article - articolo]. In FINANCE LETTERS. Retrieved from http://hdl.handle.net/10446/19562
The Impact of Different Distributional Hypothesis on Returns in Asset Allocation
GIACOMETTI, Rosella;Ortobelli Lozza, Sergio;
2005-01-01
Abstract
This paper discusses and analyzes some portfolio allocation problems with autoregressive processes. Firstly, we examine the distributional behaviour of some international indexes. Then, we propose an AR(1)-GARCH(1,1) model to describe the evolution of the portfolio returns over time. In particular, we assume that investors wish to maximize some expected utility functionals of final wealth and we evaluate the impact of different distributional hypotheses on investor's choices. Finally, we describe the properties of some optimal choices.| File | Dimensione del file | Formato | |
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