An Analytic Solution for Asset Allocation with a Multivariate Laplace Distribution
Portfolio Management
2024-11-15 v1 Probability
Risk Management
Abstract
In this short note the theory for multivariate asset allocation with elliptically symmetric distributions of returns, as developed in the author's prior work, is specialized to the case of returns drawn from a multivariate Laplace distribution. This analysis delivers a result closely, but not perfectly, consistent with the conjecture presented in the author's article Thinking Differently About Asset Allocation. The principal differences are due to the introduction of a term in the dimensionality of the problem, which was omitted from the conjectured solution, and a rescaling of the variance due to varying parameterizations of the univariate Laplace distribution.
Keywords
Cite
@article{arxiv.2411.08967,
title = {An Analytic Solution for Asset Allocation with a Multivariate Laplace Distribution},
author = {Graham L. Giller},
journal= {arXiv preprint arXiv:2411.08967},
year = {2024}
}
Comments
9 pages, 1 figure