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:	1999-11-18
Authors:	Geluk, Jaap ; Peng, Liang ; Vries, Casper G. de
Institutions:	Tinbergen Instituut

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Extent:	application/pdf
Series:	Tinbergen Institute Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Tinbergen Institute Discussion Papers Number 99-088/2
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011257645