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.

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Year of publication:	1999
Authors:	Geluk, Jaap ; Peng, Liang ; de Vries, Casper G.
Publisher:	Amsterdam and Rotterdam : Tinbergen Institute
Subject:	Portfolio-Management \| Wahrscheinlichkeitsrechnung \| Theorie

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Series:	Tinbergen Institute Discussion Paper ; 99-088/2
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	832630527 [GVK] hdl:10419/85706 [Handle] RePEc:dgr:uvatin:19990088 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010324678