Asset Allocation with Laplace Distribution
The author adapts a theory for multivariate asset allocation to include returns from a multivariate Laplace distribution, noting slight differences due to problem dimensionality and variance rescaling.
Featured in No. 46 on 24 Apr 2024 · 1 day after release
- Released
- 23 Apr 2024
- First featured
- No. 46 · 24 Apr 2024
- Published in
- Not yet, as far as Semantic Scholar knows
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- 42
- Identifier
- SSRN 4804682
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).