期刊名称：International Journal of Computer Science and Network Security
印刷版ISSN：1738-7906
出版年度：2007
卷号：7
期号：7
页码：224-233
出版社：International Journal of Computer Science and Network Security
摘要：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.
关键词：Portfolio theory; L?vy processes; Variance-Gamma distribution; Normal Inverse Gaussian distribution
