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

weak convergencestochastic differential equationsstrong convergencediversificationlarge portfolios

Mathematics Subject Classification ID

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

Recommendations

• Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market
• Large portfolio asymptotics for loss from default
• Diversified portfolios with jumps in a benchmark framework
• Diversified Portfolios in Continuous Time *
• Asymptotic analysis of portfolio diversification

Cited in

(8)

• 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
• Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market
• Diversified portfolios with jumps in a benchmark framework
• Large scale portfolio selection with synergies
• Analytical VaR for international portfolios with common jumps
• Large portfolio allocation using high-frequency financial data

This page was built for publication: Approximating Large Diversified Portfolios

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4791734)