We evaluate how non-normality of asset returns and the temporal evolution of volatility and higher moments affects the conditional allocation of wealth. We show that if one neglects these aspects, as would be the case in a mean-variance allocation, a significant cost would arise. The performance...

The recently proposed class of MixN-GARCH models, which couple a mixed normal distributional structure with linked GARCH-type dynamics, has been shown to offer a plausible decomposition of the contributions to volatility, as well as admirable out-of-sample forecasting performance, for financial...