Portfolio optimization when risk factors are conditionally varying and heavy tailed

  title={Portfolio optimization when risk factors are conditionally varying and heavy tailed},
  author={Toker Doganoglu and Christoph Hartz and Stefan Mittnik},
  journal={Computational Economics},
Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and fat tails, the normal distribution with constant variance continues to be the standard framework in portfolio management. Here we propose a practical approach to portfolio selection. It takes both the conditionally varying volatility and the fat… 

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    Journal of Political Economy
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