Approximating Large Diversified Portfolios

DOI10.1111/1467-9965.00081MaRDI QIDQ4791734zbMATH OpenOpenAlexFDO

Authors Norbert Hofmann, Eckhard Platen

Publication date 2 February 2003

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9965.00081

zbMATH Keywords

diversificationlarge portfoliosstochastic differential equationsstrong convergenceweak convergence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)

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(9)

• Large portfolio allocation using high-frequency financial data
• Large scale portfolio selection with synergies
• Diversified portfolios with jumps in a benchmark framework
• Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market
• Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
• Simulation of diversified portfolios in continuous financial markets
• VaR: exchange rate risk and jump risk
• Analytical VaR for international portfolios with common jumps
• Risk management of stock portfolios with jumps at exogenous default events

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