Discrete time portfolio selection with Lévy processes

Bertini, C; Ortobelli Lozza, S

    Risultato della ricerca: Paper

    1 Citazione (Scopus)

    Abstract

    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.
    Lingua originaleEnglish
    Stato di pubblicazionePublished - 2007

    Fingerprint

    Lévy process
    Portfolio selection
    Discrete-time
    Portfolio model
    Portfolio strategy
    Term structure
    Selection model
    Scenarios
    Variance gamma
    Investors
    Brownian motion
    Short sales

    Cita questo

    Bertini, C; Ortobelli Lozza, S (2007). Discrete time portfolio selection with Lévy processes.

    Discrete time portfolio selection with Lévy processes. / Bertini, C; Ortobelli Lozza, S.

    2007.

    Risultato della ricerca: Paper

    Bertini, C; Ortobelli Lozza, S 2007, 'Discrete time portfolio selection with Lévy processes'.
    Bertini, C; Ortobelli Lozza, S. Discrete time portfolio selection with Lévy processes. 2007.
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    abstract = "This paper analyzes discrete time portfolio selection models with L{\'e}vy 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.",
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