Optimal dynamic asset allocation in a non—Gaussian world

Gianni Pola
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Gianni Pola: Crédit Agricole Asset Management SGR, Quantitative Research

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2010, pp 273-282 from Springer

Abstract: Abstract Asset Allocation deals with how to combine securities in order to maximize the investor’s gain. We consider the Optimal Asset Allocation problem in a multi-period investment setting: the optimal portfolio allocation is synthesised to maximise the joint probability of the portfolio fulfilling some target returns requirements. The model does not assume any particular distribution on asset returns, thus providing an appropriate framework for a non—Gaussian environment. A numerical study clearly illustrates that an optimal total-return fund manager is contrarian to the market.

Keywords: asset allocation; portfolio management; multi-period investment; optimal control; dynamic programming (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-88-470-1481-7_28

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DOI: 10.1007/978-88-470-1481-7_28

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