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http://hdl.handle.net/11718/13081| Title: | Portfolio allocation with heavy-tailed returns |
| Authors: | Laha, Arnab Kumar Subrahmaniam, Bharathy Divyajyoti, Bhowmick |
| Keywords: | Portfolio choices;Portfolio Analysis |
| Issue Date: | 2005 |
| Publisher: | Indian Institute of Management Ahmedabad |
| Series/Report no.: | WP;1912 |
| Abstract: | In this paper we propose two new methods of portfolio allocation which are applicable for all return distributions. It i 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. |
| URI: | http://hdl.handle.net/11718/13081 |
| Appears in Collections: | Working Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| WP 2005_1912.pdf | 596.58 kB | Adobe PDF | View/Open |
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