Extreme values of portfolio of Gaussian processes and a trend (Q881407)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Extreme values of portfolio of Gaussian processes and a trend
scientific article

    Statements

    Extreme values of portfolio of Gaussian processes and a trend (English)
    0 references
    0 references
    0 references
    0 references
    29 May 2007
    0 references
    The authors study the asymptotic behaviour of the probability \[ P\left\{\sup_{t>0}\left(\sum_{i=1}^{k}w_{i}X_{i}(t)-ct^{\beta}\right)> u\right\}, \] where \(X_{i}(t),\;t>0\), \(i=1,\dots,k,\) are independent centred continuous Gaussian processes with variance \(d_{i}t^{2H_{i}}\); \(-ct^{\beta}\) is a trend; \(\beta, c, d_{i}>0\), \(0<H_{k}\leq\dots\leq H_{1}<\min\{1,\beta\}\), and \(w_{i}\) denote the weights.
    0 references
    0 references
    Gaussian processes
    0 references
    extreme values
    0 references
    portfolio of assets
    0 references
    tail behavior
    0 references
    ruin probability
    0 references
    large deviations
    0 references
    0 references