A Portfolio Selection Analysis with Non-Gaussian Models

Abstract

The main topics covered in this chapter are:a description of a method to perform portfolio selection based on normal, multivariate generalized hyperbolic, and multivariate normal tempered stable distributions;a review of the main properties of the average value-at-risk measure;a review of the mean–variance and mean-risk portfolio optimization strategies;an implementation of the minimum-variance and equally weighted portfolio criteria;a review of portfolio performance measures to evaluate and backtest different portfolio strategies;an empirical test showing the portfolio selection performance on a 50-dimensional series of stock returns;an evaluation of different portfolio rebalancing frequencies.