The Impact of Different Distributional Hypotheses on Returns in Asset Allocation

Abstract

A: This paper discusses and analyzes some portfolio allocation problems with autoregressive processes. Firstly, we examine the distributional behavior of some international indexes. Then, we propose an AR(1)-GARCH(1,1) model to describe the evolution of the portfolio returns over time. In particular, we assume that investors wish to maximize some expected… (More)

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Cite this paper

@inproceedings{Bertocchi2004TheIO, title={The Impact of Different Distributional Hypotheses on Returns in Asset Allocation}, author={Marida Bertocchi and Rosella Giacometti and Sergio Ortobelli and Svetlozar Rachev}, year={2004} }