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q-fin.PM2024
Two-fund separation under hyperbolically distributed returns and concave utility functions
Nuerxiati Abudurexiti, Erhan Bayraktar, Takaki Hayashi +1
Portfolio selection problems that optimize expected utility are usually difficult to solve. If the number of assets in the portfolio is large, such expected utility maximization pr…
q-fin.MF2024
Weak convergence implies convergence in mean within GGC
Hasanjan Sayit
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 expect…