Arbeitspapier
Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series
The paper characterizes first and second order tail behavior ofconvolutions of i.i.d. heavy tailed random variables with supporton the real line. The result is applied to the problem of riskdiversification in portfolio analysis and to the estimation of theparameter in a MA(1) model.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 99-088/2
- Klassifikation
-
Wirtschaft
- Thema
-
Portfolio-Management
Wahrscheinlichkeitsrechnung
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Geluk, Jaap
Peng, Liang
de Vries, Casper G.
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
1999
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Geluk, Jaap
- Peng, Liang
- de Vries, Casper G.
- Tinbergen Institute
Entstanden
- 1999
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