Weak convergence implies convergence in mean within GGC
Mathematical Finance
2024-07-23 v1
Abstract
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.
Cite
@article{arxiv.2407.15105,
title = {Weak convergence implies convergence in mean within GGC},
author = {Hasanjan Sayit},
journal= {arXiv preprint arXiv:2407.15105},
year = {2024}
}
Comments
21 pages