{"title":"弱趋同意味着 GGC 内部平均值趋同","authors":"Hasanjan Sayit","doi":"arxiv-2407.15105","DOIUrl":null,"url":null,"abstract":"We prove that weak convergence within generalized gamma convolution (GGC)\ndistributions implies convergence in the mean value. We use this fact to show\nthe robustness of the expected utility maximizing optimal portfolio under\nexponential utility function when return vectors are modelled by hyperbolic\ndistributions.","PeriodicalId":501084,"journal":{"name":"arXiv - QuantFin - Mathematical Finance","volume":"20 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Weak convergence implies convergence in mean within GGC\",\"authors\":\"Hasanjan Sayit\",\"doi\":\"arxiv-2407.15105\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We prove that weak convergence within generalized gamma convolution (GGC)\\ndistributions implies convergence in the mean value. We use this fact to show\\nthe robustness of the expected utility maximizing optimal portfolio under\\nexponential utility function when return vectors are modelled by hyperbolic\\ndistributions.\",\"PeriodicalId\":501084,\"journal\":{\"name\":\"arXiv - QuantFin - Mathematical Finance\",\"volume\":\"20 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-07-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Mathematical Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2407.15105\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Mathematical Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2407.15105","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Weak convergence implies convergence in mean within GGC
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.