Conditional Asset Allocation under Non-Normality: How Costly Is the Mean-Variance Criterion?

Détails

ID Serval
serval:BIB_006511406CE9
Type
Actes de conférence (partie): contribution originale à la littérature scientifique, publiée à l'occasion de conférences scientifiques, dans un ouvrage de compte-rendu (proceedings), ou dans l'édition spéciale d'un journal reconnu (conference proceedings).
Collection
Publications
Institution
Titre
Conditional Asset Allocation under Non-Normality: How Costly Is the Mean-Variance Criterion?
Titre de la conférence
European Finance Association Meeting
Auteur(s)
Jondeau E., Rockinger M.
Adresse
Moscow, Russia
Statut éditorial
Publié
Date de publication
2005
Langue
anglais
Résumé
We evaluate how departure from normality may affect the conditional allocation of wealth. The expected utility function is approximated by a fourth-order Taylor expansion that allows for non-normal returns. Market returns are characterized by a joint model that captures the time dependency and the shape of the distribution. We show that under large departure from normality, the mean-variance criterion can lead to portfolio weights that differ significantly from those obtained using the optimal strategy accounting for non-normality. In addition, the opportunity cost for a risk-adverse investor to use the sub-optimal mean-variance criterion can be very large.
Mots-clé
Volatility, Skewness, Kurtosis, GARCH, model, Multivariate skewed Student-t distribution, Stock returns, Asset allocation, Emerging markets
Création de la notice
09/05/2008 13:06
Dernière modification de la notice
20/08/2019 12:22
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