6533b834fe1ef96bd129e0d4

RESEARCH PRODUCT

Discrete Time Portfolio Selection with Lévy Processes

Cesarino BertiniSergio Ortobelli LozzaAlessandro Staino

subject

Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarieterm structureexpected utilitySubordinated Lévy models; term structure; expected utility; portfolio strategiesportfolio strategiesMultivariate normal distributionSubordinated Lévy modelsVariance-gamma distributionInverse Gaussian distributionsymbols.namesakeSettore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Discrete time and continuous timesymbolsEconometricsPortfolioSubordinated Lévy models term structure expected utility portfolio strategiesPost-modern portfolio theoryPortfolio optimizationModern portfolio theoryMathematics

description

This paper analyzes discrete time portfolio selection models with Lévy processes. We first implement portfolio models under the hypotheses the vector of log-returns follow or a multivariate Variance Gamma model or a Multivariate Normal Inverse Gaussian model or a Brownian Motion. In particular, we propose an ex-ante and an ex-post empirical comparisons by the point of view of different investors. Thus, we compare portfolio strategies considering different term structure scenarios and different distributional assumptions when unlimited short sales are allowed.

yearjournalcountryeditionlanguage
2007-12-06
https://doi.org/10.1007/978-3-540-77226-2_103