EconPapers    
Economics at your fingertips  
 

Modeling Portfolios with Leptokurtic and Dependent Risk Factors

Piero Quatto, Gianmarco Vacca () and Maria Zoia ()

Papers from arXiv.org

Abstract: Recently, an approach to modeling portfolio distribution with risk factors distributed as Gram-Charlier (GC) expansions of the Gaussian law, has been conceived. GC expansions prove effective when dealing with moderately leptokurtic data. In order to cover the case of possibly severe leptokurtosis, the so-called GC-like expansions have been devised by reshaping parent leptokurtic distributions by means of orthogonal polynomials specific to them. In this paper, we focus on the hyperbolic-secant (HS) law as parent distribution whose GC-like expansions fit with kurtosis levels up to 19.4. A portfolio distribution has been obtained with risk factors modeled as GClike expansions of the HS law which duly account for excess kurtosis. Empirical evidence of the workings of the approach dealt with in the paper is included.

Date: 2021-06
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/2106.04218 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2106.04218

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2022-09-12
Handle: RePEc:arx:papers:2106.04218