The Problem of Optimal Asset Allocation with Stable Distributed Returns
نویسنده
چکیده
This paper discusses two optimal allocation problems. We consider different hypotheses of portfolio selection with stable distributed returns for each of them. In particular, we study the optimal allocation between a riskless return and risky stable distributed returns. Furthermore, we examine and compare the optimal allocation obtained with the Gaussian and the stable non-Gaussian distributional assumption for the risky return.
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