On Lower Partial Moments for an Investment Portfolio With Variance-Gamma Distributed Returns

23 Pages Posted: 7 Dec 2020

See all articles by Roman Ivanov

Roman Ivanov

Trapeznikov Institute of Control Sciences RAS

Date Written: November 30, 2020

Abstract

The paper discusses the lower partial moments for the return of the investment portfolio which consists of the assets whose random incomes are modeled by variance-gamma, gamma distributions and constants.

The formulas depend on values of generalized hypergeometric functions. As a corollary, the target semideviation is computed.

It is shown also how the obtained results generate analytical expressions for the value at risk and the expected shortfall monetary risk measures.

Keywords: lower partial moment, semideviation, variance-gamma distribution; generalized hypergeometric function; value at risk; expected shortfall

JEL Classification: C02; C63; G11; G21; G32

Suggested Citation

Ivanov, Roman, On Lower Partial Moments for an Investment Portfolio With Variance-Gamma Distributed Returns (November 30, 2020). Available at SSRN: https://ssrn.com/abstract=3740062 or http://dx.doi.org/10.2139/ssrn.3740062

Roman Ivanov (Contact Author)

Trapeznikov Institute of Control Sciences RAS ( email )

65 Profsoyuznaya street
Moscow, 117997
Russia

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