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.
Staino, A., Ortobelli, S., Massabò, I. (2007). A Comparison among Portfolio Selection Strategies with Subordinated Lévy Processes. INTERNATIONAL JOURNAL OF COMPUTER SCIENCE AND NETWORK SECURITY, VOL. 7(No. 7), 224-233.
A Comparison among Portfolio Selection Strategies with Subordinated Lévy Processes
STAINO, Alessandro;
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 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.
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