Convolutions of heavy-tailed random variables and applications to portfolio diversification and MA(1) time series (Q2713154): Difference between revisions
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| Property / author: J. L. Geluk / rank | |||
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| Property / author: Liang Peng / rank | |||
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| Property / author: Casper G. de Vries / rank | |||
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| Property / author: J. L. Geluk / rank | |||
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| Property / author: Liang Peng / rank | |||
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| Property / author: Casper G. de Vries / rank | |||
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| Property / full work available at URL: https://doi.org/10.1239/aap/1013540345 / rank | |||
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| Property / OpenAlex ID: W2116995969 / rank | |||
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Latest revision as of 21:57, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convolutions of heavy-tailed random variables and applications to portfolio diversification and MA(1) time series |
scientific article |
Statements
Convolutions of heavy-tailed random variables and applications to portfolio diversification and MA(1) time series (English)
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3 February 2002
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heavy tails
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regular variation
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portfolio diversification
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convolution
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time series
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