In investment analysis, betavexity is a form of
convexity that is specific to the
beta coefficient
In finance, the beta ( or market beta or beta coefficient) is a statistic that measures the expected increase or decrease of an individual stock price in proportion to movements of the stock market as a whole. Beta can be used to indicate the c ...
of a
long tail
In statistics and business, a long tail of some distributions of numbers is the portion of the distribution having many occurrences far from the "head" or central part of the distribution. The distribution could involve popularities, random n ...
ed investment (i.e. mortality risk). It is similar in nature to
bond convexity
In finance, bond convexity is a measure of the non-linear relationship of bond prices to changes in interest rates, and is defined as the second derivative of the price of the bond with respect to interest rates ( duration is the first derivative) ...
or
gamma
Gamma (; uppercase , lowercase ; ) is the third letter of the Greek alphabet. In the system of Greek numerals it has a value of 3. In Ancient Greek, the letter gamma represented a voiced velar stop . In Modern Greek, this letter normally repr ...
that are exhibited in financial products such as
bonds or
options but is specific to portfolios replicating indices of shorter maturities.
Investment horizon
Certain investors such as insurance companies have longer-term investment horizons than hedge funds, which allow for investments in assets that have longer maturities. As a result, these investors can invest in assets that have an inherent return component linked to the dynamic of the term of the investment.
References
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Financial risk modeling