Tails of weakly dependent random vectors
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References listed on IDEAS
- Georg Mainik & Ludger Rüschendorf, 2010. "On optimal portfolio diversification with respect to extreme risks," Finance and Stochastics, Springer, vol. 14(4), pages 593-623, December.
- Enkelejd Hashorva & Jürg Hüsler, 2003. "On multivariate Gaussian tails," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(3), pages 507-522, September.
- Asmussen, Søren & Rojas-Nandayapa, Leonardo, 2008. "Asymptotics of sums of lognormal random variables with Gaussian copula," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2709-2714, November.
- Wüthrich, Mario V., 2003. "Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 33(01), pages 75-92, May.
- Mainik, Georg & Embrechts, Paul, 2013. "Diversification in heavy-tailed portfolios: properties and pitfalls," Annals of Actuarial Science, Cambridge University Press, vol. 7(01), pages 26-45, March.
- Archil Gulisashvili & Peter Tankov, 2013. "Tail behavior of sums and differences of log-normal random variables," Papers 1309.3057, arXiv.org, revised Jan 2016.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-01 (All new papers)
- NEP-BAN-2014-03-01 (Banking)
- NEP-ECM-2014-03-01 (Econometrics)
- NEP-ETS-2014-03-01 (Econometric Time Series)
- NEP-RMG-2014-03-01 (Risk Management)
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