Portfolio Allocation with Heavy-tailed returns

A. K. Laha, Bhowmick Divyajyoti and Subramaniam Bharathy

No WP2005-11-02, IIMA Working Papers from Indian Institute of Management Ahmedabad, Research and Publication Department

Abstract: In this paper we propose two new methods of portfolio allocation which are applicable for all return distributions. The properties of these new methods are compared with that of Markowitzs mean-variance method using extensive simulation. It is found that the new methods perform appreciably in terms of growth of wealth as well as protecting against the downside risk, in situations where the return distributions of one or more of the stocks is heavy-tailed. These methods can be effective substitutes for the mean-variance method which is not applicable for return distributions with heavy-tails having infinite expectation or variance. Note: For softcopy of this paper, please contact the authors - email: arnab@iima.ac.in

Date: 2005-11-02
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:iim:iimawp:wp01914

Access Statistics for this paper

More papers in IIMA Working Papers from Indian Institute of Management Ahmedabad, Research and Publication Department Contact information at EDIRC.
Bibliographic data for series maintained by ().