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

被引：13

作者：

Geluk, JL

Peng, L

De Vries, CG

机构：

[1] Erasmus Univ, Inst Econometr, NL-3000 DR Rotterdam, Netherlands

[2] Australian Natl Univ, Ctr Math & Its Applicat, Canberra, ACT 0200, Australia

[3] Erasmus Univ, Dept Econ, NL-3000 DR Rotterdam, Netherlands

来源：

ADVANCES IN APPLIED PROBABILITY | 2000年 / 32卷 / 04期

关键词：

heavytails; regular variation; portfolio diversification; convolution; time series;

D O I：

10.1017/S0001867800010430

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Suppose X-1, X-2 are independent random variables satisfying a second-order regular variation condition on the tail-sum and a balance condition on the tails. In this paper we give a description of the asymptotic behaviour as t --> infinity for P(X-1 + X-2 > t) 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.

引用

页码：1011 / 1026

页数：16

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[3]

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[4]

Copeland TE, 1983, FINANCIAL THEORY COR