Application of large deviations method in the portfolio

DOI10.13548/J.SXZZ.20180930.002MaRDI QIDQ5194472zbMATH OpenFDO

Authors Kai-Hong Wang

Publication date 20 September 2019

Full work available at URL https://doi.org/10.13548/J.SXZZ.20180930.002

zbMATH Keywords

large deviationslogarithmic yieldoptimal portfolio

Mathematics Subject Classification ID

Large deviations (60F10) Portfolio theory (91G10)

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Cited in

(3)

• Large deviations theorems for optimal investment problems with large portfolios
• Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
• Some Applications and Methods of Large Deviations in Finance and Insurance

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