Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1150752 | Journal of Statistical Planning and Inference | 2006 | 11 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Donald Lien, N. Balakrishnan,