A Comparison among Portfolio Selection Strategies with Subordinated Lévy Processes

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

American and European Portfolio Selection Strategies: The Markovian Approach

Technical Report n. 309, Department of Quantitative Methods, University of Bresci

American and European Portfolio Selection Strategies: The Markovian Approach

Technical Report n. 309, Department of Quantitative Methods, University of Bresci

Discrete time portfolio selection with Lévy processes

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

Portfolio Choice: A Non Parametric Markovian Framework

In this paper we argue the large scale dynamic portfolio selection problem when the returns follow a Markov process with heavy tailed distributions. First, we provide a methodology to approximate the portfolios sample paths when the returns follow a Markov process and present heavy tailed distributions. Then, we examine the profitability of some reward-risk strategies applied to large scale portfolio problems. In particular, we compare the ex-post sample paths of the wealth obtained implementing some large scale dynamic portfolio strategies