Introduction

Abstract

Portfolio choice is a central problem of economic agents. In plain words, it asks how one should “best” spread one’s wealth across a number of different assets to maximize return and control risk. Of course, each asset is unique and offers its own outcome perspectives. These can be roughly summarized by an “expected return” and a “risk” aspect: the first one quantifies what would be the likely price appreciation of the asset or income arising from it over a given time period; the second measures how uncertain these payoffs to the investor can be.