Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series
AbstractThe 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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Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 99-088/2.
Date of creation: 18 Nov 1999
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Web page: http://www.tinbergen.nl
This paper has been announced in the following NEP Reports:
- NEP-ALL-1999-12-01 (All new papers)
- NEP-ECM-1999-12-01 (Econometrics)
- NEP-ETS-1999-12-01 (Econometric Time Series)
- NEP-FIN-1999-12-01 (Finance)
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- Jón Daníelsson & Casper G. de Vries, 1998.
"Value-at-Risk and Extreme Returns,"
Tinbergen Institute Discussion Papers
98-017/2, Tinbergen Institute.
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