Fugazza, Carolina; Guidolin, Massimo; Nicodano, Giovanna - 2009
, 2001) and solve a portfolio problem in which investor’s preferences are specified as a power utility
of terminal wealth. In …, given a high expected return-to-volatility ratio. As the horizon
grows, the attractiveness of stocks and real estate … and the variance of returns only, can be a misleading indicator of performance
when returns are not normally distributed …