Optimal allocation in a portfolio containing stock with heavy-tailed returns under disappointment aversion utility functions

By: Contributor(s): Material type: TextTextPublication details: Ahmedabad 2006 Indian Institute of ManagementDescription: 35 pSubject(s): DDC classification:
  • SP 2006/1322
Summary: The paper studies the optimal portfolio allocation for stocks with heavy tailed returns using the CAPM model, CARRA utility and the Disappointment Aversion function. It compares the result obtained from each method and comment on each one's applicability in different situations.
Tags from this library: No tags from this library for this title. Log in to add tags.
Star ratings
    Average rating: 0.0 (0 votes)
Holdings
Item type Current library Collection Shelving location Call number Status Date due Barcode
Student Project Vikram Sarabhai Library Reference Students Project SP 2006/1322 (Browse shelf(Opens below)) Not for loan SP001322

Submitted to Prof. Arnab Kumar Laha

The paper studies the optimal portfolio allocation for stocks with heavy tailed returns using the CAPM model, CARRA utility and the Disappointment Aversion function. It compares the result obtained from each method and comment on each one's applicability in different situations.

There are no comments on this title.

to post a comment.