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

DOI10.1007/S10986-021-09547-4zbMATH Open1490.60042OpenAlexW4205790981MaRDI QIDQ2113612FDOQ2113612

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)

Cites Work

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Cited In (3)

• Mean Lower Partial Moment Valuation and Lognormally Distributed Returns
• Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach
• Capital allocation to alternatives with a multivariate ladder gamma return distribution

Uses Software

• BRENT

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