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International Journal of Analysis and Applications
Article . 2021
Data sources: DOAJ
SSRN Electronic Journal
Article . 2020 . Peer-reviewed
Data sources: Crossref
https://dx.doi.org/10.2139/ssr...
Other literature type
Data sources: Microsoft Academic Graph
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The Downside and Upside Beta Valuation in the Variance-Gamma Model

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2020 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068, Copyright policy )
Authors: Roman V. Ivanov;

doi: 10.2139/ssrn.3740181

The Downside and Upside Beta Valuation in the Variance-Gamma Model

Abstract

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.

Keywords

QA299.6-433, Probabilities. Mathematical statistics, QA273-280, Analysis

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
1
Average
Average
Average
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