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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 99-088/2
- Classification
-
Wirtschaft
- Subject
-
Portfolio-Management
Wahrscheinlichkeitsrechnung
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Geluk, Jaap
Peng, Liang
de Vries, Casper G.
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
1999
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Geluk, Jaap
- Peng, Liang
- de Vries, Casper G.
- Tinbergen Institute
Time of origin
- 1999
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