Monoperiodic Portfolio Choice

Olivier Le Courtois and Christian Walter ()

Chapter 11 in Extreme Financial Risks and Asset Allocation, 2014, pp 275-301 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The portfolio framework that is adopted here is the monoperiodic one. This is a static framework: the portfolio cannot be modified between the beginning and the end of the period. If the portfolio composition needs to be changed, because of sale or purchase decisions for example, it is necessary to introduce intermediate dates, so as to move to a multiperiodic framework in discrete time (or to a continuous-time framework). Only arbitrary dates will be considered: 0 and t, between which the portfolio composition will not change. Time t represents the investment horizon for decisions taken at time 0. This horizon can be very short (one week) or very long (ten years). For monoperiodic models, which do not take into account the passage of time, the time horizon has no effect on the composition method for the portfolio. However, this horizon t inevitably has an indirect effect on the result, in so far as the values of the parameters λ(t) depend on the horizon itself…

Keywords: Lévy Process; Extreme Risks; Risk Management; Portfolio Management; Asset Allocation (search for similar items in EconPapers)
Date: 2014
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