The Convergence Rate of the Third and the Fourth Moments

Автор(и)

  • Yaroslav Ivanovich Yeleyko Ivan Franko Lviv National University, Lviv, Ukraine
  • Nataliya Volodymyrovna Buhrii Lviv Polytechnic National University, Lviv, Ukraine

DOI:

https://doi.org/10.32626/2308-5878.2017-16.72-80

Анотація

The perturbation of the random environment  is considered. There is proved that as  the perturbed third and the perturbed fourth moments differ from the third and the fourth moments respectively very little. The convergence rate of the perturbed third and the perturbed fourth moments to the unperturbed ones is investigated

Посилання

Sharpe W. Portfolio theory and capital markets / W. Sharpe. — New York : McGraw-Hill, 1970.

Sharpe W. Capital asset prices: a theory of market equilibrium under conditions of risk / W. Sharpe // J. of Finance. — 1964. — Vol. 19, N 3. — P. 425–442.

Yeleiko Ya. I. On rate of convergence of expected return and risk / Ya. I. Yeleiko, A. Yu. Borotyuk // Mat. Met. Fiz.-Mech. Polya. — 1999. — Vol. 42, N 3. — P. 95–98 (in Ukrainian).

Yeleiko Ya. I. The speed of the convergence perturbed profit, perturbed risk and the scale of infinitesimals / Ya. I. Yeleiko, A. Yu. Borotyuk // Visnyk of the Lviv Univ. Ser. Mech.-Math. — 1999. — Issue 53. — P. 133–137 (in Ukrainian).

##submission.downloads##

Опубліковано

2017-02-13

Номер

2017: Математичне та комп'ютерне моделювання. Серія: Фізико-математичні науки. Випуск 16

Розділ

Статті

Ліцензія

Authors who publish with this journal agree to the following terms:

  1. Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
  2. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
  3. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).