Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios

被引：0

作者：

Ba Chu

机构：

[1] Department of Economics, Carleton University, Ottawa, ON K1S 5B6, B-857 Loeb Building

来源：

Annals of Finance | 2012年 / 8卷 / 1期

关键词：

Diversification; Large deviations; Shortfall probabilities; Windfall probabilities;

D O I：

10.1007/s10436-011-0182-x

中图分类号：

学科分类号：

摘要：

Many investors believe that they can effectively reduce risk by, among other ways, holding large combinations of investment assets. The purpose of this paper is to develop asymptotic approximations of the windfall and shortfall probabilities for an optimal portfolio of risky assets as the number of the assets becomes sufficiently large. We start by providing some heuristics to motivate our problem, then proceed to prove general large deviations theorems. We also present specific results with an application to the multivariate normal case. Both a theoretical analysis of the method and an empirical application justify the diversification tenet of the allocation strategies that many hedge funds and pension funds tend to adopt nowadays. © 2011 Springer-Verlag.

引用

页码：97 / 122

页数：25

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