Optimal Capital Allocation: Mean-Variance Models
نویسندگان
چکیده
This paper studies capital allocation problem based on minimizing loss functions. Two capital allocation models based on the Mean-Variance principle are proposed. General formulas for optimal capital allocations for both models are derived according to quadratic distance measure. In particular, we discuss centrally symmetric distributions and gamma distributions. Some numerical examples are given to illustrate the results. Mathematics Subject Classifications (2000): 60E15; 62N05; 62G30; 62D05
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