Optimal investment and asymmetric risk: a large deviations approach (Q3553748)
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scientific article; zbMATH DE number 5696663
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Optimal investment and asymmetric risk: a large deviations approach |
scientific article; zbMATH DE number 5696663 |
Statements
Optimal investment and asymmetric risk: a large deviations approach (English)
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21 April 2010
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optimal portfolio
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Edgeworth approximation
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large deviations
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asymmetric gamma distribution
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nonlinear correlations
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shortfall probability
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overfall probability
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0.8904024362564087
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0.7719727754592896
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0.7559733986854553
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0.7556321620941162
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0.7538326382637024
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