Abstract
In this paper, we discuss the problem of calculating the primary risk measures in the variance-gamma model. A portfolio of investments in a one-period setting is considered. It is supposed that the investment returns are dependent on each other. In terms of the variance-gamma model, we assume that there are relations in both groups of the normal random variables and the gamma stochastic volatilities. The value at risk, the expected shortfall and the entropic monetary risk measures are discussed. The obtained analytical expressions are based on values of hypergeometric functions.
Acknowledgements
I am grateful to the reviewers whose numerous suggestions and remarks made the work essentially better.
References
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© 2017 Walter de Gruyter GmbH, Berlin/Boston
Articles in the same Issue
- Frontmatter
- Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading
- On risk measuring in the variance-gamma model
- Distortion risk measures, ROC curves, and distortion divergence
- EM algorithm for Markov chains observed via Gaussian noise and point process information: Theory and case studies
- Optimal expected utility risk measures
Articles in the same Issue
- Frontmatter
- Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading
- On risk measuring in the variance-gamma model
- Distortion risk measures, ROC curves, and distortion divergence
- EM algorithm for Markov chains observed via Gaussian noise and point process information: Theory and case studies
- Optimal expected utility risk measures