Portfolio selection has a long tradition in financial economics and plays an integral role in investment management. Portfolio selection provides the framework to determine optimal portfolio choice from a universe of available investments. However, the asset weightings from portfolio selection...

Longer horizon returns are modeled by two approaches, which have different impact on skewness and excess kurtosis. The Levy approach, which considers the random variable at longer horizon as the cumulants of i.i.d random variables from shorter horizons, tends to decrease skewness and excess...