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statistique, théorie et gestion de portefeuille - Docs at ISFA

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This brings us back to the problem of calcul<strong>at</strong>ing the same type of integrals as in the uncorrel<strong>at</strong>ed case.<br />

Using the expressions of α and β, and taking into account the parity of n and p, we obtain:<br />

γq1q2 (2n, 2p) = χ1 2p χ2 2n−2p (1 − ρ2 1<br />

q1p+q2(n−p)+ ) 2<br />

π<br />

<br />

×Γ q2(n − p) + s + 1<br />

<br />

2<br />

γq1q2 (2n, 2p + 1) = χ1 2p+1 χ2 2n−2p−1 (1 − ρ2 ) q1p+q2(n−p)+ q1−q2 +1<br />

2<br />

<br />

×Γ<br />

q1p + s + 1 + q1<br />

2<br />

<br />

Γ<br />

+∞<br />

s=0<br />

(2ρ) 2s<br />

(2s)! Γ<br />

<br />

q1p + s + 1<br />

<br />

×<br />

2<br />

461<br />

, (150)<br />

+∞<br />

(2ρ)<br />

π<br />

s=0<br />

2s+1<br />

(2s + 1)! ×<br />

q2(n − p) + s + 1 − q2<br />

<br />

. (151)<br />

2<br />

Using the <strong>de</strong>finition of the hypergeom<strong>et</strong>ric functions 2F1 (Abramovitz and Stegun 1972), and the rel<strong>at</strong>ion<br />

(9.131) of (Gradshteyn and Ryzhik 1965), we finally obtain<br />

γq1q2 (2n, 2p) = χ1 2p χ2 2n−2p Γ q1p + 1<br />

<br />

2 Γ q2(n − p) + 1<br />

<br />

2<br />

2F1 −q1p, −q2(n − p);<br />

π<br />

1<br />

<br />

; ρ2(152)<br />

,<br />

2<br />

γq1q2 (2n, 2p + 1) = χ1 2p+1 χ2 2n−2p−1 2Γ q1p + 1 + q1<br />

<br />

2 Γ q2(n − p) + 1 − q2<br />

<br />

2 ρ ×<br />

<br />

π<br />

× 2F1 −q1p − q1 − 1<br />

, −q2(n − p) +<br />

2<br />

q2 + 1<br />

;<br />

2<br />

3<br />

<br />

; ρ2 . (153)<br />

2<br />

In the asymm<strong>et</strong>ric case, a similar calcul<strong>at</strong>ion follows, with the sole difference th<strong>at</strong> the results involves four<br />

terms in the integral (148) instead of two.<br />

37

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