PORTFOLIO STRATEGIES AND ASSET ALLOCATION - Extreme Returns, Downside Risk, and Optimal Asset Allocation - The normal distribution plays a key role in most asset allocation models and the computation of downside risk measures. The normal distribution, however, does not capture the observed behavior of many financial time series. Extreme returns are encountered far more often than predicted by the ...
| Year of publication: |
1998
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| Authors: | Lucas, André ; Klaassen, Pieter |
| Published in: |
The journal of portfolio management : a publication of Institutional Investor. - New York, NY : Institutional Investor, ISSN 0095-4918, ZDB-ID 1971451. - Vol. 25.1998, 1, p. 71-80
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