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 logreturns 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.
A Comparison among Portfolio Selection Strategies with Subordinated Lévy Processes
STAINO, ALESSANDRO;MASSABO', Ivar
2007-01-01
Abstract
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 logreturns 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.File in questo prodotto:
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