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

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

Jules Sadefo-Kamdem

Résumé

Lower partial moment Kappa Index Linear Portfolio Elliptical portfolio Performance Measure 91B30; 91B82; 91B16 G - Financial Economics G - Financial Economics/G.G3 - Corporate Finance and Governance/G.G3.G32 - Financing Policy • Financial Risk and Risk Management • Capital and Ownership Structure • Value of Firms • Goodwill G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment Decisions C - Mathematical and Quantitative Methods/C.C4 - Econometric and Statistical Methods: Special Topics/C.C4.C46 - Specific Distributions • Specific Statistics C - Mathematical and Quantitative Methods/C.C4 - Econometric and Statistical Methods: Special Topics/C.C4.C44 - Operations Research • Statistical Decision Theory C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C61 - Optimization Techniques • Programming Models • Dynamic Analysis
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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