Full Length Research Paper
Abstract
We consider risk arising from changes in the prices of financial assets. We propose a risk measure based on asymptotic power law behaviour for optimal portfolio selection in a single period. We apply this measure to compute explicitly the optimal portfolio when the underlying security prices follow a Weibull distribution. An illustrative example is given.
Key words: Asymptotic power law, asset price change, Weibull distribution, portfolio selection, mathematics subject classification: 91B60, 91B26
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