Advertisement
Published in:
2007 | OriginalPaper | Chapter
Discrete Time Portfolio Selection with Lévy Processes
Authors : Cesarino Bertini, Sergio Ortobelli Lozza, Alessandro Staino
Published in: Intelligent Data Engineering and Automated Learning - IDEAL 2007
Publisher: Springer Berlin Heidelberg
Activate our intelligent search to find suitable subject content or patents.
Select sections of text to find matching patents with Artificial Intelligence. powered by
Select sections of text to find additional relevant content using AI-assisted search. powered by
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.