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

Jules Sadefo-Kamdem (1)

1 LAMETA - Laboratoire Montpelliérain d'Économie Théorique et Appliquée

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.

Mots clés: Lower partial moment; Kappa Index; Linear Portfolio; Elliptical portfolio; Performance Measure

Domaines: Finance quantitative [q-fin.CP]

Jules Sadefo-Kamdem. DOWNSIDE RISK AND KAPPA INDEX OF NON-GAUSSIAN PORTFOLIO WITH LPM. 2011. ⟨hal-00733043⟩