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Weak convergence implies convergence in mean within GGC

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  • 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.

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  • Hasanjan Sayit, 2024. "Weak convergence implies convergence in mean within GGC," Papers 2407.15105, arXiv.org.
    • Handle: RePEc:arx:papers:2407.15105
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    File URL: http://arxiv.org/pdf/2407.15105
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