In this article we propose two new methods of portfolio allocation which are applicable for all return distributions. The properties of these new methods are compared with that of Markowitz's mean-variance method using extensive simulation. It is found that the new methods perform appreciably in...

In this paper we propose two new methods of portfolio allocation which are applicable for all return distributions. The properties of these new methods are compared with that of Markowitzs mean-variance method using extensive simulation. It is found that the new methods perform appreciably in...