6533b833fe1ef96bd129c696

RESEARCH PRODUCT

A Comparison among Portfolio Selection Strategies with Subordinated Lévy Processes

Alessandro StainoS OrtobelliI. Massabò

subject

Settore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Portfolio theory Lévy processes Variance-Gamma distribution Normal Inverse Gaussian distribution

description

In this paper we describe portfolio selection models using Lévy processes. The contribution consists in comparing some portfolio selection strategies under different distributional assumptions. We first implement portfolio models under the hypothesis the log-returns follow a particular process with independent and stationary increments. Then we compare the ex-post final wealth of optimal portfolio selection models with subordinated Lévy processes when limited short sales and transaction costs are allowed.

yearjournalcountryeditionlanguage
2007-01-01
http://hdl.handle.net/10447/38509