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

DOI10.1007/S10986-021-09547-4MaRDI QIDQ2113612zbMATH OpenOpenAlexFDO

Authors Roman Ivanov

Publication date 14 March 2022

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-021-09547-4

zbMATH Keywords

expected shortfallvalue at riskgeneralized hypergeometric functionvariance-gamma distributionsemideviationlower partial moment

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Stochastic models in economics (91B70) Applications of hypergeometric functions (33C90)

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Cited in

(5)

• The role of lower partial moments in stochastic modeling
• Mean Lower Partial Moment Valuation and Lognormally Distributed Returns
• Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach
• On risk measuring in the variance-gamma model
• Capital allocation to alternatives with a multivariate ladder gamma return distribution

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