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

23 Pages Posted: 7 Dec 2020

See all articles by Roman Ivanov

Roman Ivanov

Trapeznikov Institute of Control Sciences RAS

Date Written: December 1, 2020

Abstract

Throughout the paper, investment portfolios which consist of assets with variance-gamma, gamma and deterministically distributed returns are considered. We derive formulas which characterize the impact of a particular asset on the risks and gains of the portfolio. Namely, we obtain analytical expressions for the downside and upside betas. The returns on the assets are assumed to be dependent. The established formulas depend on the values of special mathematical functions including the values of the generalized hypergeometric ones.

Keywords: beta; downside risk; upside beta; variance-gamma distribution; investment portfolio; dependence

JEL Classification: C02; C52; C54; C65; G11

Suggested Citation

Ivanov, Roman, The Downside and Upside Beta Valuation in the Variance-Gamma Model (December 1, 2020). Available at SSRN: https://ssrn.com/abstract=3740181 or http://dx.doi.org/10.2139/ssrn.3740181

Roman Ivanov (Contact Author)

Trapeznikov Institute of Control Sciences RAS ( email )

65 Profsoyuznaya street
Moscow, 117997
Russia

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