| Application of Steine's Lemma in Modern Finance |
| کد مقاله : 1034-FEMATH6 |
| نویسندگان |
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آسیه ابطحی * هیات علمی کروه ریاضی و آمار، دانشکده علوم و فناوریهای نوین، دانشگاه آزاد اسلامی شیراز- شیراز- ایران |
| چکیده مقاله |
| When two random variable have a bivariate normal distribution, Stein's Lemma provides an expression for the covariance of the first variable with a function of the second. Stein's Lemma has many application in statistics and probability and it plays an important role in modern finance. Most of these applications were initially derived in a multivariate normal context. In finance, however, asset returns do not always display symmetry but may exhibit skewness. This paper introduced a unified multivariate skewed distribution and extend Stein's Lemma for two version of multivariate skewed distribution. The Capital Asset Pricing Model is derived for one version of this unified form. This model is widely used throughout finance for pricing risky securities and generating expected returns for assets given the risk of those assets and cost of capital.It is shown that, under another version of the unified form, the portfolios of all investors are expected utility maximizers are located on a single mean-variance skewness surface. |
| کلیدواژه ها |
| Stein's Lemma, Unified skewed distribution, portfolio selection,Capital Asset Pricing Model. |
| وضعیت: پذیرفته شده برای ارائه شفاهی |