Choices based on asymptotic approximation
نویسندگان
چکیده
In this paper, we deal with portfolio selection decisions when the portfolio returns are approximated by stable Paretian distributions. Therefore, we examine some dominance rules to determine the optimal choices of non-satiable risk averse investors. In particular, we first preselect a subclass of assets which are not dominated by the point of view of non-satiable and risk-averse investors. Then, we optimize a multi-parametric portfolio optimization problem that takes into account the asymptotic stochastic dominance rule. Finally, we compare the ex-post wealth obtained by optimal portfolios with different levels of asymptotic skewness and stability index.
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