This paper analyzes and discusses the stable distributional approach in portfolio choice theory. We consider different hypotheses of portfolio selection with stable distributed returns and, more generally, with heavy-tailed distributed returns. In particular, we examine empirical differences...

This paper analyzes the asset allocation problem of an investor who can invest in equity and cash when there is time variation in expected returns on the equity. The solution methodology is multistage stochastic asset allocation problem with decision rules. The uncertainty is modeled using...