The authors modeled the non-normal returns of multiple asset classes by using a
multivariate truncated Lévy flight distribution and incorporating
non-normal returns into the mean-conditional value at risk (M-CVaR) optimization
framework. In a series of controlled optimizations, they found that both
skewness and kurtosis affect the M-CVaR optimization and lead to substantially
different allocations than do the traditional mean–variance
optimizations. They also found that the M-CVaR optimization would have been
beneficial during the 2008 financial crisis.