In this paper we argue the large scale dynamic portfolio selection problem when the returns follow a Markov process with heavy tailed distributions. First, we provide a methodology to approximate the portfolios sample paths when the returns follow a Markov process and present heavy tailed distributions. Then, we examine the profitability of some reward-risk strategies applied to large scale portfolio problems. In particular, we compare the ex-post sample paths of the wealth obtained implementing some large scale dynamic portfolio strategies.
Portfolio Choice: A Non Parametric Markovian Framework
ANGELELLI, Enrico;
2013-01-01
Abstract
In this paper we argue the large scale dynamic portfolio selection problem when the returns follow a Markov process with heavy tailed distributions. First, we provide a methodology to approximate the portfolios sample paths when the returns follow a Markov process and present heavy tailed distributions. Then, we examine the profitability of some reward-risk strategies applied to large scale portfolio problems. In particular, we compare the ex-post sample paths of the wealth obtained implementing some large scale dynamic portfolio strategies.File in questo prodotto:
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