Risk Limited Asset Allocation with a Budget Threshold Utility Function and Leptokurtotic Distributions of Returns
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arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866911321782484992 |
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| author | Giller, Graham L |
| author_facet | Giller, Graham L |
| contents | An analytical solution to single-horizon asset allocation for an investor with a piecewise-linear utility function, called herein the "budget threshold utility," and exogenous position limits is presented. The resulting functional form has a surprisingly simple structure and can be readily interpreted as representing the addition of a simple "risk cost" to otherwise frictionless trading. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_11666 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Risk Limited Asset Allocation with a Budget Threshold Utility Function and Leptokurtotic Distributions of Returns Giller, Graham L Portfolio Management Risk Management An analytical solution to single-horizon asset allocation for an investor with a piecewise-linear utility function, called herein the "budget threshold utility," and exogenous position limits is presented. The resulting functional form has a surprisingly simple structure and can be readily interpreted as representing the addition of a simple "risk cost" to otherwise frictionless trading. |
| title | Risk Limited Asset Allocation with a Budget Threshold Utility Function and Leptokurtotic Distributions of Returns |
| topic | Portfolio Management Risk Management |
| url | https://arxiv.org/abs/2512.11666 |