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Discrete Time Portfolio Selection with Lévy Processes

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Intelligent Data Engineering and Automated Learning - IDEAL 2007 (IDEAL 2007)

Part of the book series: Lecture Notes in Computer Science ((LNISA,volume 4881))

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.

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Authors and Affiliations

  1. University of Bergamo, Department MSIA, Via dei Caniana, 2, 24127 Bergamo, Italy

    Cesarino Bertini, Sergio Ortobelli Lozza & Alessandro Staino

Authors
  1. Cesarino Bertini
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  2. Sergio Ortobelli Lozza
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  3. Alessandro Staino
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Editor information

Hujun Yin Peter Tino Emilio Corchado Will Byrne Xin Yao

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© 2007 Springer-Verlag Berlin Heidelberg

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Bertini, C., Lozza, S.O., Staino, A. (2007). Discrete Time Portfolio Selection with Lévy Processes. In: Yin, H., Tino, P., Corchado, E., Byrne, W., Yao, X. (eds) Intelligent Data Engineering and Automated Learning - IDEAL 2007. IDEAL 2007. Lecture Notes in Computer Science, vol 4881. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-77226-2_103

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  • DOI: https://doi.org/10.1007/978-3-540-77226-2_103

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-77225-5

  • Online ISBN: 978-3-540-77226-2

  • eBook Packages: Computer ScienceComputer Science (R0)

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