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

DOI10.1007/s10986-021-09547-4zbMath1490.60042OpenAlexW4205790981MaRDI QIDQ2113612

Roman V. 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

generalized hypergeometric functionexpected shortfallvalue at riskvariance-gamma distributionsemideviationlower partial moment

Mathematics Subject Classification ID

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

Uses Software

• BRENT

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