66821

Автор(ы): 

Автор(ов): 

1

Параметры публикации

Тип публикации: 

Статья в журнале/сборнике

Название: 

The downside and upside beta valuation in the variance-gamma model

ISBN/ISSN: 

2291-8639

DOI: 

10.28924/2291-8639-19-2021-319

Наименование источника: 

  • International Journal of Analysis and Applications

Обозначение и номер тома: 

Т. 19, вып. 3

Город: 

  • Vancouver

Издательство: 

  • Etamaths Publishing

Год издания: 

2021

Страницы: 

319-340
Аннотация
The paper is aimed to assess the risks and gains of investment portfolio which relate to the impact of a particular asset. We consider the investment portfolios which consist of assets with variance-gamma, gamma distributed and deterministic returns. The returns are assumed to be dependent. We derive analytical formulas for the downside and upside betas in the discussed framework. The established formulas depend on the values of a number of special mathematical functions including the values of the generalized hypergeometric ones.

Библиографическая ссылка: 

Иванов Р.В. The downside and upside beta valuation in the variance-gamma model // International Journal of Analysis and Applications. 2021. Т. 19, вып. 3. С. 319-340.