Extreme Returns, Downside Risk, and Optimal Asset Allocation
研究了投资者假设资产收益服从正态分布时，其最优资产配置可能因忽略收益分布的厚尾特征而偏离真正最优的程度。
The issue of asset allocation is important to every investor, but because of common, yet questionable, assumptions, these allocations may be significantly biased. Perhaps the most common investor assumption is normality or lognormality of asset returns. Evidence indicates, however, that return distributions often have fat tails (i.e., are leptokurtic). If so, how far from optimality are these “optimal” allocations?