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A note on portfolio management under non-Gaussian logreturns |
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Find related articles from these CiteULike users Find related articles with these CiteULike tags Abstract. We calculate numerically the optimal allocation and consumption strategies for Merton's optimal portfolio management problem when the risky asset is modelled by a geometric normal inverse Gaussian Levy process. We compare the computed strategies to the ones given by the standard asset model of geometric Brownian motion. To have realistic parameters in our studies, we choose Norsk Hydro quoted on the New York Stock Exchange as the risky asset. We nd that an investor believing in the...
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