How Higher Moments affect the allocation of assets
Détails
ID Serval
serval:BIB_F00F853898DE
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
How Higher Moments affect the allocation of assets
Périodique
Finance Letters
ISSN
1740-6242
Statut éditorial
Publié
Date de publication
2003
Peer-reviewed
Oui
Volume
1
Numéro
2
Pages
1-5
Langue
anglais
Résumé
We evaluate how deviations from normality may affect the allocation of assets. A Taylor expansion of expected utility allows us to focus on certain moments and to compute numerically the optimal portfolio allocation. We obtain that for small values of the risk-aversion parameter, non-normality does not alter significantly the optimal allocation. In contrast, when the investor is strongly risk averse, and restricted to invest in risky assets only, we also obtain significant changes in portfolio weights.
Mots-clé
Asset allocation, Stock returns, Non-normality, Utility function
Création de la notice
25/05/2009 13:12
Dernière modification de la notice
20/08/2019 16:17