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Risk-Adjusted Performance And Semi-Moments Of Non-Gaussian Portfolio Returns Distributions

Author

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  • Jules Sadefo Kamdem

    (MRE - Montpellier Recherche en Economie - UM - Université de Montpellier)

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.

Suggested Citation

  • Jules Sadefo Kamdem, 2023. "Risk-Adjusted Performance And Semi-Moments Of Non-Gaussian Portfolio Returns Distributions," Working Papers hal-04134833, HAL.
    • Handle: RePEc:hal:wpaper:hal-04134833
    Note: View the original document on HAL open archive server: https://hal.science/hal-04134833v1
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    References listed on IDEAS

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