4 papers
Risk Limited Asset Allocation with a Budget Threshold Utility Function and Leptokurtotic Distributions of Returns
Graham L Giller
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 posi…
Isotropic Correlation Models for the Cross-Section of Equity Returns
Graham L. Giller
This note discusses some of the aspects of a model for the covariance of equity returns based on a simple "isotropic" structure in which all pairwise correlations are taken to be t…
Correlation without Factors in Retail Cryptocurrency Markets
Graham L. Giller
A simple model-free and distribution-free statistic, the functional relationship between the number of "effective" degrees of freedom and portfolio size, or N*(N), is used to discr…
An Analytic Solution for Asset Allocation with a Multivariate Laplace Distribution
Graham L. Giller
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…