The Spectral Fenton Distribution: Exact Portfolio Risk via Eigenvalue-Conditioned Fourier Inversion
Unreviewed draft. This paper has not been human-reviewed.
Mathematical claims may be unverified. Use with appropriate caution.
Summary
The probability distribution of the sum of correlated lognormal random variables—known as the Fenton Distribution—has lacked a closed-form cumulative distribution function (CDF) since its description in 1960.
Length
1,405 words
Claims
2 theorems
Status
Final Draft
Target
Journal of Computational Finance / Quantitative Finance