This paper analyzes portfolio selection models with heavy tailed return distributions. Firstly, we examine investor’s optimal choices when we assume respectively either Gaussian or stable non-Gaussian unconditional distributed index returns. Then, we approximate discrete time optimal allocations assuming returns following an ARMA process. Finally, we describe further autoregressive portfolio choice models.
Portfolio selection with heavy tailed distributions
ORTOBELLI LOZZA, Sergio;
2005-01-01
Abstract
This paper analyzes portfolio selection models with heavy tailed return distributions. Firstly, we examine investor’s optimal choices when we assume respectively either Gaussian or stable non-Gaussian unconditional distributed index returns. Then, we approximate discrete time optimal allocations assuming returns following an ARMA process. Finally, we describe further autoregressive portfolio choice models.File allegato/i alla scheda:
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