The Downside and Upside Beta Valuation in the Variance-Gamma Model
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 deriv...
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| Format: | Article |
| Language: | English |
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Etamaths Publishing
2021-04-01
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| Series: | International Journal of Analysis and Applications |
| Online Access: | http://etamaths.com/index.php/ijaa/article/view/2346 |