Abstract
Asset Allocation deals with how to combine securities in order to maximize the investor’s gain. We consider the Optimal Asset Allocation problem in a multi-period investment setting: the optimal portfolio allocation is synthesised to maximise the joint probability of the portfolio fulfilling some target returns requirements. The model does not assume any particular distribution on asset returns, thus providing an appropriate framework for a non—Gaussian environment. A numerical study clearly illustrates that an optimal total-return fund manager is contrarian to the market.
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