Abnormal Portfolio Asset Allocation Model: Review

Autor:	Alit Kartiwa, Endang Soeryana Hasbullah, Dwi Susanti, Nurfadhlina bt Abdul Halima
Rok vydání:	2020
Předmět:	Computer science Skewness Kurtosis Econometrics Asset allocation Portfolio Context (language use) Portfolio optimization Investment (macroeconomics) Expected utility hypothesis
Zdroj:	International Journal of Business, Economics, and Social Development. 1:46-54
ISSN:	2722-1156 2722-1164
DOI:	10.46336/ijbesd.v1i1.18
Popis:	It has been widely studied how investors will allocate their assets to an investment when the return of assets is normally distributed. In this context usually, the problem of portfolio optimization is analyzed using mean-variance. When asset returns are not normally distributed, the mean-variance analysis may not be appropriate for selecting the optimum portfolio. This paper will examine the consequences of abnormalities in the process of allocating investment portfolio assets. Here will be shown how to adjust the mean-variance standard as a basic framework for asset allocation in cases where asset returns are not normally distributed. We will also discuss the application of the optimum strategies for this problem. Based on the results of literature studies, it can be concluded that the expected utility approximation involves averages, variances, skewness, and kurtosis, and can be extended to even higher moments.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::2d357827a43ac04f0fc287307fa121a7 https://doi.org/10.46336/ijbesd.v1i1.18 Zobrazit plný text záznamu