Abstract
A left-skewed payoff distribution ascribes more probability to higher payoffs than a right-skewed distribution. The former is a desirable feature of payoff spreading if losses are strongly avoided. Therefore, investment policies leading to left-skewed payoff distributions are of interest to practical fund managers where the probability of loss needs be minimal (e.g., in pension funds). In this paper, features of stochastic optimal control processes, under which left-skewed payoff distributions can be obtained, are examined. In particular, the diffusion parameter that represents risky-asset price uncertainty is varied, and sensitivity of the payoff distribution due to this variation is studied. Interestingly, left-skewed payoff distributions can be obtained for relatively large values of the diffusion parameter.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
