Schanbacher, Peter - In: Jahrbücher für Nationalökonomie und Statistik 235 (2015) 1, pp. 61-81
Summary Combination of asset allocation models is rewarding if (i) the applied risk function is concave and (ii) there is no dominating model. We show that most common risk functions are either concave or at least concave in common applications. In a comprehensive empirical study using standard...