Mixture of beta distribution fit to the Hölder exponent of different types of assets.

<p>The Hölder exponents are represented by histograms whose number of bins is determined by the Freedman-Diaconis rule, the probability density functions of the mixtures of <i>beta</i> are the black curves.</p

K-S test results for single assets.

<p>K-S test results for single assets.</p

KS test results for all portfolios.

<p>KS test results for all portfolios.</p

Portfolios composition.

<p>Portfolios composition.</p

Financial Crisis: A New Measure for Risk of Pension Fund Portfolios - Fig 5

<p>(a) Mixture of beta distribution fit to the Hölder exponent of High Risk Portfolio 2, High Risk Portfolio 1, and Low Risk Portfolio 1. (b) Mean and variance of the <i>beta mixture</i> distribution for the seven portfolios.</p

H of the assets.

<p>(a) <i>H</i> of the high risk assets: the indexes, shares and the Arca Bond Emergenti portfolio. (b) <i>H</i> of the low risk assets: the EU area bonds.</p

Mixture of beta distribution fit to the Hölder exponent of different portfolios.

<p>First row: mixture of <i>beta</i> fitting of <i>H</i> of high risk portfolios (HRP1, HRP2, HRP3). Second row: mixture of <i>beta</i> fitting of <i>H</i> of low risk portfolios (LRP1, LRP2, LRP3).</p