In this paper we propose a portfolio choice problem under the hypothesis of Markovian returns. In particular, we assume stable Paretian distributed returns which imports a more flexible environment rather than the traditional Gaussian modeling. Therefore under these assumptions we perform an ex-post analysis to investigate the real benefit of our approach and draw some remarkable conclusions.
An asymptotic Markovian approach to the portfolio selection problem
ANGELELLI, Enrico;
2013-01-01
Abstract
In this paper we propose a portfolio choice problem under the hypothesis of Markovian returns. In particular, we assume stable Paretian distributed returns which imports a more flexible environment rather than the traditional Gaussian modeling. Therefore under these assumptions we perform an ex-post analysis to investigate the real benefit of our approach and draw some remarkable conclusions.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
