The Stable non-Gaussian Asset Allocation: A Comparison with the Classical Gaussian Approach.

We analyze a multistage stochastic asset allocation problem with decision rules.

Year of publication:	2000
Authors:	Tokat, Y. ; Rachev, S.T. ; Schwartz, E.
Subject:	OPTIMIZATION \| ECONOMIC MODELS \| RISK AVERSION \| DECISION MAKING

Type of publication:	Book / Working Paper
Notes:	36 pages
Classification:	C33 - Models with Panel Data ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005245556