In this paper we propose a portfolio choice problem under the hypothesis of Markovian returns. In particular, we assume stable Paretian distributed returns which imports a more flexible environment rather than the traditional Gaussian modeling. Therefore under these assumptions we perform an ex-post analysis to investigate the real benefit of our approach and draw some remarkable conclusions.

An asymptotic Markovian approach to the portfolio selection problem

ANGELELLI, Enrico;ORTOBELLI LOZZA, Sergio;IAQUINTA, Gaetano
2013-01-01

Abstract

In this paper we propose a portfolio choice problem under the hypothesis of Markovian returns. In particular, we assume stable Paretian distributed returns which imports a more flexible environment rather than the traditional Gaussian modeling. Therefore under these assumptions we perform an ex-post analysis to investigate the real benefit of our approach and draw some remarkable conclusions.
journal article - articolo
2013
Angelelli, Enrico; ORTOBELLI LOZZA, Sergio; Iaquinta, Gaetano
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/29376
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