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- W3121637269 abstract "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. A decisive advantage of our approach is that it remains operational even if a large number of assets is in-volved. 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, we also obtain significant changes in portfolio weights." @default.
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- W3121637269 date "2002-01-01" @default.
- W3121637269 modified "2023-09-26" @default.
- W3121637269 title "The Allocation of Assets Under Higher Moments" @default.
- W3121637269 hasPublicationYear "2002" @default.
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