تقرير
Coskewness under dependence uncertainty
| العنوان: | Coskewness under dependence uncertainty |
|---|---|
| المؤلفون: | Bernard, Carole, Chen, Jinghui, Ruschendorf, Ludger, Vanduffel, Steven |
| سنة النشر: | 2023 |
| المجموعة: | Mathematics Quantitative Finance Statistics |
| مصطلحات موضوعية: | Mathematics - Statistics Theory, Mathematics - Probability, Quantitative Finance - Portfolio Management, Quantitative Finance - Statistical Finance |
| الوصف: | We study the impact of dependence uncertainty on the expectation of the product of $d$ random variables, $\mathbb{E}(X_1X_2\cdots X_d)$ when $X_i \sim F_i$ for all~$i$. Under some conditions on the $F_i$, explicit sharp bounds are obtained and a numerical method is provided to approximate them for arbitrary choices of the $F_i$. The results are applied to assess the impact of dependence uncertainty on coskewness. In this regard, we introduce a novel notion of "standardized rank coskewness," which is invariant under strictly increasing transformations and takes values in $[-1,\ 1]$. |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/2303.17266 |
| رقم الأكسشن: | edsarx.2303.17266 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |