Please use this identifier to cite or link to this item:
http://hdl.handle.net/11718/10160
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Laha, Arnab Kumar | |
dc.contributor.author | Bhoumick, D. | |
dc.contributor.author | Subramaniam, B. | |
dc.date.accessioned | 2010-11-02T09:34:12Z | |
dc.date.available | 2007-11-02T09:34:12Z | |
dc.date.copyright | 2007 | |
dc.date.issued | 2007-11-02T09:34:12Z | |
dc.identifier.uri | http://hdl.handle.net/11718/10160 | |
dc.description | Applied Financial Economics Letters, Vol. 4, No. 3, (July 2007), pp. 237 - 42 | en |
dc.description.abstract | In this article we propose two new methods of portfolio allocation which are applicable for all return distributions. The properties of these new methods are compared with that of Markowitz’s mean-variance method using extensive simulation. It is found that the new methods perform appreciably in terms of growth of wealth as well as protecting against the downside risk, in situations where the return distributions of one or more of the stocks is heavy-tailed. These methods can be effective substitutes for the mean-variance method which is not applicable for return distributions with heavy-tails having infinite expectation or variance. | |
dc.language.iso | en | en |
dc.subject | Portfolio Allocation | en |
dc.title | Portfolio allocation with heavy tailed returns | en |
dc.type | Article | en |
Appears in Collections: | Journal Articles |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Portfolioallocationwithheavytailedreturns.pdf Restricted Access | 245.34 kB | Adobe PDF | View/Open Request a copy |
Items in IIMA Institutional Repository are protected by copyright, with all rights reserved, unless otherwise indicated.