Portfolio allocation with heavy-tailed returns

dc.contributor.author	Laha, Arnab Kumar
dc.contributor.author	Subrahmaniam, Bharathy
dc.contributor.author	Divyajyoti, Bhowmick
dc.date.accessioned	2015-02-19T04:20:44Z
dc.date.available	2015-02-19T04:20:44Z
dc.date.issued	2005
dc.identifier.uri	http://hdl.handle.net/11718/13081
dc.description.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.	en_US
dc.language.iso	en	en_US
dc.publisher	Indian Institute of Management Ahmedabad	en_US
dc.relation.ispartofseries	WP;1912
dc.subject	Portfolio choices	en_US
dc.subject	Portfolio Analysis	en_US
dc.title	Portfolio allocation with heavy-tailed returns	en_US
dc.type	Working Paper	en_US