Multivariate Tail Moments for Log-Elliptical Dependence Structures as Measures of Risks
Abstract
:1. Introduction
- 1
- Multivariate log-normal distribution: In the case that the density generator is , the pdf of the multivariate log-normal distribution is
- 2
- Multivariate log-Student-t distribution: The pdf of the log-Student-t distribution is given by
- 3
- Multivariate log-logistic distribution: An elliptical vector is log-logistic distributed if its pdf takes the form
- 4
- Multivariate log-Laplace distribution: we say that is a multivariate log-Laplace random vector if its pdf is
2. Multivariate Tail Conditional Expectation for Log-Elliptical Models
Numerical Illustration
3. Multivariate Tail Covariance for Log-Elliptical Models
Extensions to the Class of Log-Elliptical Models
4. Optimal Portfolio Selection with Log-Elliptical Distributions
5. Conclusions
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Conflicts of Interest
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Landsman, Z.; Shushi, T. Multivariate Tail Moments for Log-Elliptical Dependence Structures as Measures of Risks. Symmetry 2021, 13, 559. https://doi.org/10.3390/sym13040559
Landsman Z, Shushi T. Multivariate Tail Moments for Log-Elliptical Dependence Structures as Measures of Risks. Symmetry. 2021; 13(4):559. https://doi.org/10.3390/sym13040559
Chicago/Turabian StyleLandsman, Zinoviy, and Tomer Shushi. 2021. "Multivariate Tail Moments for Log-Elliptical Dependence Structures as Measures of Risks" Symmetry 13, no. 4: 559. https://doi.org/10.3390/sym13040559
APA StyleLandsman, Z., & Shushi, T. (2021). Multivariate Tail Moments for Log-Elliptical Dependence Structures as Measures of Risks. Symmetry, 13(4), 559. https://doi.org/10.3390/sym13040559