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  • Search: subject:"Elliptical portfolio"
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Elliptical portfolio 1 Kappa Index 1 Linear Portfolio 1 Lower partial moment 1 Performance Measure 1
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Free 1
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Kamdem, Jules Sadefo 1
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HAL 1
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DOWNSIDE RISK AND KAPPA INDEX OF NON-GAUSSIAN PORTFOLIO WITH LPM
Kamdem, Jules Sadefo - HAL - 2011
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...
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