Convolutions of heavy-tailed random variables and applications to portfolio diversification and MA(1) time series

Advances in Applied Probability

Volumn 32, Issue 4, 2000, Pages 1011-1026

  Geluk, Jaap L ^a   Peng, Liang ^b   De Vries, Casper G ^a  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^b AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

ASYMPTOTIC STABILITY; MATHEMATICAL MODELS; PARAMETER ESTIMATION; RISK MANAGEMENT; TIME SERIES ANALYSIS;

PORTFOLIO DIVERSIFICATION; RANDOM VARIABLE;

RANDOM PROCESSES;

EID: 0034431240     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1013540345     Document Type: Article

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