کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1150752 | 957986 | 2006 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Moments and properties of multiplicatively constrained bivariate lognormal distribution with applications to futures hedging
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Moments and properties of multiplicatively constrained bivariate lognormal distribution with applications to futures hedging Moments and properties of multiplicatively constrained bivariate lognormal distribution with applications to futures hedging](/preview/png/1150752.png)
چکیده انگلیسی
In this paper, we derive explicit expressions for marginal and product moments of a bivariate lognormal distribution when a multiplicative constraint is present. We show that the coefficients of variation always decrease regardless of the multiplicative constraint imposed. We also evaluate the effects of the constraint on the variances and covariance, and present conditions under which the correlation coefficient increases under the presence of such a multiplicative constraint. We finally apply these results to futures hedging analysis and some other financial applications.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 136, Issue 4, 1 April 2006, Pages 1349–1359
Journal: Journal of Statistical Planning and Inference - Volume 136, Issue 4, 1 April 2006, Pages 1349–1359
نویسندگان
Donald Lien, N. Balakrishnan,