Portfolio allocation with heavy-tailed returns
View/ Open
Date
2005Author
Laha, Arnab Kumar
Subrahmaniam, Bharathy
Divyajyoti, Bhowmick
Metadata
Show full item recordAbstract
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.
Collections
- Working Papers [2627]