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

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.

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Year of publication:	2011-01-01
Authors:	Kamdem, Jules Sadefo
Institutions:	HAL
Subject:	Lower partial moment \| Kappa Index \| Linear Portfolio \| Elliptical portfolio \| Performance Measure

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00733043
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010899507