Tokat, Yesim; Rachev, Svetlozar T.; Schwartz, Eduardo - Department of Economics, University of California-Santa … - 2000
We analyze a multistage stochastic asset allocation problem with decision rules. The uncertainty is modeled using economic scenarios with Gaussian and stable Paretian non-Gaussian innovations. The optimal allocations under these alternative hypothesis are compared. If the agent has very low or...