Handbook of Heavy Tailed Distributions in Finance

Chapter 14

Portfolio Choice Theory With Non-Gaussian Distributed Returns

Sergio Ortobelli    University of Bergamo, Italy

Isabella Huber    University of Karlsruhe, Germany

Svetlozar T. Rachev [e-mail]    Department of Statistics and Applied Probability, University of California, Santa Barbara, USAInstitute of Statistics and Mathematical Economics, University of Karlsruhe, Germany

Eduardo S. Schwartz    Anderson School of Management, University of California, Los Angeles, USA

Abstract

This chapter discusses the parametric distributions of asset returns and proposes portfolio choice models consistent with the maximization of the expected utility. We analyze multi-parameter models to select nonstochastically dominated portfolios ...