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Title |
A Comparison among Portfolio Selection Strategies with Subordinated L?vy Processes |
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Author |
Alessandro Staino, Sergio Ortobelli, Ivar Massab? |
| Citation |
Vol. 7 No. 7 pp. 224-233 |
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Abstract |
In this paper we describe portfolio selection models using L?vy 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 L?vy processes when limited short sales and transaction costs are allowed. |
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Keywords |
Portfolio theory, L?vy processes, Variance-Gamma distribution, Normal Inverse Gaussian distribution |
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