DOWNSIDE RISK AND KAPPA INDEX OF NON-GAUSSIAN PORTFOLIO WITH LPM

Jules Sadefo-Kamdem
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Jules Sadefo-Kamdem: LAMETA - Laboratoire Montpelliérain d'Économie Théorique et Appliquée - UM1 - Université Montpellier 1 - UPVM - Université Paul-Valéry - Montpellier 3 - INRA - Institut National de la Recherche Agronomique - Montpellier SupAgro - Centre international d'études supérieures en sciences agronomiques - UM - Université de Montpellier - CNRS - Centre National de la Recherche Scientifique - Montpellier SupAgro - Institut national d’études supérieures agronomiques de Montpellier
Authors registered in the RePEc Author Service: Jules SADEFO KAMDEM

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Abstract: In this paper, we nd analytic expressions of the lower partial moment and kappa index of linear portfolios when the returns are elliptically distributed. We also introduced the notion of Target Semi-Kurtosis of portfolio return and discuss the robust optimization Mean-LPM problem with non-gaussian risk factors. Special attention is given to the particular case of a mixture of multivariate t-distributions.

Keywords: Lower partial moment; Kappa Index; Linear Portfolio; Elliptical portfolio; Performance Measure (search for similar items in EconPapers)
Date: 2011-01-01
Note: View the original document on HAL open archive server: https://hal.science/hal-00733043v1
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Citations: View citations in EconPapers (4)

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