Two cases are studied: in the first, the distribution of the assets is normal, and in the second, it is radically different. The authors see that applying the standard CAPM to the non-normal distributions can lead to extremely erroneous decision-making. In contrast, when using software tools that combine optimization and simulation techniques, it is easy to optimize any portfolio as long as its assets return distributions are known. Palisade's RISKOptimizer and @RISK are used for simulation and optimization.
For more information, contact:
| Holly Bailey Main Street/Working Communications Tel: 607-532-4924 Fax: 607-532-4720 hbwrite@zoom-dsl.com |
Randy Heffernan Tel: 607-277-8000 Fax: 607-277-8001 rheffernan@palisade.com |
