Abstract
The distributions of products and ratios of random variables are of interest in many areas of the sciences. In this paper, the exact distributions of the product |XY| and the ratio |X/Y| are derived when X and Y are Laplace and Bessel function random variables distributed independently of each other.
Highlights
For given random variables X and Y, the distributions of the product |XY | and the ratio |X/Y | are of interest in many areas of the sciences
In traditional portfolio selection models, certain cases involve the product of random variables
In portfolio diversification models, are prices of shares in local markets uncertain and the exchange rates are uncertain so that the value of the portfolio in domestic currency is related to a product of random variables
Summary
The distributions of products and ratios of random variables are of interest in many areas of the sciences. The exact distributions of the product |XY | and the ratio |X/Y | are derived when X and Y are Laplace and Bessel function random variables distributed independently of each other
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