68634

Автор(ы): 

Автор(ов): 

1

Параметры публикации

Тип публикации: 

Статья в журнале/сборнике

Название: 

On lower partial moments for the investment portfolio with variance-gamma distributed returns

ISBN/ISSN: 

0363-1672

DOI: 

10.1007/s10986-021-09547-4

Наименование источника: 

  • Lithuanian Mathematical Journal

Обозначение и номер тома: 

Т. 62, № 1

Город: 

  • New York

Издательство: 

  • Springer

Год издания: 

2022

Страницы: 

10-27
Аннотация
We discuss the computation of lower partial moments for the return of the investment portfolio that consists of the assets whose incomes are modeled by variance-gamma distribution, gamma distribution, and constants. The derived formulas depend on the values of the generalized hypergeometric functions. As a corollary of the main result, we calculate the target semideviation. We also show how the obtained results generate analytical expressions for the value at risk and the expected shortfall monetary risk measures.

Библиографическая ссылка: 

Иванов Р.В. On lower partial moments for the investment portfolio with variance-gamma distributed returns // Lithuanian Mathematical Journal. 2022. Т. 62, № 1. С. 10-27.