Capital allocation to alternatives with a multivariate ladder gamma return distribution

DOI10.1007/S10203-016-0175-3zbMath1398.91508OpenAlexW2403086122MaRDI QIDQ524896

John A. Buzacott

Publication date: 27 April 2017

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-016-0175-3

zbMATH Keywords

investment analysisportfolio selectionexponential utilityladder gamma distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Portfolio theory (91G10)

Cites Work

• Erratum to ``On a multivariate gamma distribution by E. Furman
• On a multivariate gamma distribution
• A form of multivariate gamma distribution
• THE ENTROPY THEORY OF STOCK OPTION PRICING

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