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 |
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doaj-2f85c5e28ff646cdbce57dcec23c84f92021-08-26T13:44:41ZengEtamaths PublishingInternational Journal of Analysis and Applications2291-86392021-04-01193319340525The Downside and Upside Beta Valuation in the Variance-Gamma ModelRoman V. Ivanov0V.A. Trapeznikov Institute of Control Sciences of RASThe 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 derive analytical formulas for the downside and upside betas in the discussed framework. The established formulas depend on the values of a number of special mathematical functions including the values of the generalized hypergeometric ones.http://etamaths.com/index.php/ijaa/article/view/2346 |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Roman V. Ivanov |
| spellingShingle |
Roman V. Ivanov The Downside and Upside Beta Valuation in the Variance-Gamma Model International Journal of Analysis and Applications |
| author_facet |
Roman V. Ivanov |
| author_sort |
Roman V. Ivanov |
| title |
The Downside and Upside Beta Valuation in the Variance-Gamma Model |
| title_short |
The Downside and Upside Beta Valuation in the Variance-Gamma Model |
| title_full |
The Downside and Upside Beta Valuation in the Variance-Gamma Model |
| title_fullStr |
The Downside and Upside Beta Valuation in the Variance-Gamma Model |
| title_full_unstemmed |
The Downside and Upside Beta Valuation in the Variance-Gamma Model |
| title_sort |
downside and upside beta valuation in the variance-gamma model |
| publisher |
Etamaths Publishing |
| series |
International Journal of Analysis and Applications |
| issn |
2291-8639 |
| publishDate |
2021-04-01 |
| description |
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 derive analytical formulas for the downside and upside betas in the discussed framework. The established formulas depend on the values of a number of special mathematical functions including the values of the generalized hypergeometric ones. |
| url |
http://etamaths.com/index.php/ijaa/article/view/2346 |
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1721193338671988736 |