A note on portfolios of averages of lognormal variables
Phelim Boyle, Ruihong Jiang
| Year of publication: |
2023
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|---|---|
| Authors: | Boyle, Phelim P. ; Jiang, Ruihong |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 112.2023, p. 97-109
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| Subject: | Block covariance matrix | Limiting distribution | Lognormal distribution | Moment formulae | Sum of lognormals | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Schätztheorie | Estimation theory | Wahrscheinlichkeitsrechnung | Probability theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2023.06.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014446731