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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 of convolutions of i.i.d. heavy tailed random variables with support on the real line. The result is applied to the problem of risk diversification in portfolio analysis and to the estimation of the parameter in a MA(1) model.
Year of publication:
1999-11-18
Authors: Geluk, Jaap ; Peng, Liang ; Vries, Casper G. de
Institutions: Tinbergen Institute
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application/pdf
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Type of publication: Book / Working Paper
Notes:
The text is part of a series Tinbergen Institute Discussion Papers Number 99-088/2
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Persistent link: https://www.econbiz.de/10005281957
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