RISK-ADJUSTED PERFORMANCE AND SEMI-MOMENTS OF NON-GAUSSIAN PORTFOLIO RETURNS DISTRIBUTIONS

Jules Sadefo Kamdem

Working Papers from HAL

Abstract: In this paper, we find 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 with application for portfolio allocation of some ESG indices and the CAC 40 index.

Keywords: Lower partial moment; Kappa Index; Linear Portfolio; Elliptical port- folio, Performance Measure, GO-GARCH,Lower partial moment Kappa Index Linear Portfolio Elliptical portfolio, Performance Measure, GO-GARCH,Lower partial moment,Kappa Index,Linear Portfolio,Elliptical portfolio, Performance Measure, GO-GARCH (search for similar items in EconPapers)
Date: 2023-06-20
New Economics Papers: this item is included in nep-rmg
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