IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2407.15105.html
   My bibliography  Save this paper

Weak convergence implies convergence in mean within GGC

Author

Listed:
  • Hasanjan Sayit

Abstract

We prove that weak convergence within generalized gamma convolution (GGC) distributions implies convergence in the mean value. We use this fact to show the robustness of the expected utility maximizing optimal portfolio under exponential utility function when return vectors are modelled by hyperbolic distributions.

Suggested Citation

  • Hasanjan Sayit, 2024. "Weak convergence implies convergence in mean within GGC," Papers 2407.15105, arXiv.org.
    • Handle: RePEc:arx:papers:2407.15105
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2407.15105
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Mukherjea, A. & Rao, M. & Suen, S., 2006. "A note on moment generating functions," Statistics & Probability Letters, Elsevier, vol. 76(11), pages 1185-1189, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ushakov, N.G. & Ushakov, V.G., 2011. "On convergence of moment generating functions," Statistics & Probability Letters, Elsevier, vol. 81(4), pages 502-505, April.
    2. Fung, Thomas & Seneta, Eugene, 2010. "Tail dependence for two skew t distributions," Statistics & Probability Letters, Elsevier, vol. 80(9-10), pages 784-791, May.
    3. Guy Katriel, 2014. "Directed Random Market: the equilibrium distribution," Papers 1404.4068, arXiv.org.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2407.15105. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.