Portfolio selection under state-dependent return distributions


Type Research Project

Duration Jan. 1, 1992 - March 31, 1999

  • Operations Research AE (Former organization)

Tags

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  • Geyer, Alois (Details) Project Head
 

Abstract (English)

This research investigates some implications of empirically observed stochastic properties of stock returns for asset allocation problems. For that purpose, decisions of representative investors for different utility functions are compared. Actual returns are assumed to have time-dependent first and second order moments. The effects of this time-dependence are investigated by way of simulation experiments. <br>simulation, time series analysis

Publications

Journal article

2000 Geyer, Alois. 2000. Implications of dependence in stock returns for asset allocation. Applied Financial Economics, 10, 623-633 (Details)

Classification

  • 5347 Operations research (Details)
  • 5358 Corporate finances (Details)
  • 5707 Time series analysis (Details)

Expertise

  • portfolio selection
  • asset allocation
  • ARMA models
  • GARCH models