Portfolio diversification under local and moderate deviations from power laws (Q998273)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5499584
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Portfolio diversification under local and moderate deviations from power laws |
scientific article; zbMATH DE number 5499584 |
Statements
Portfolio diversification under local and moderate deviations from power laws (English)
0 references
28 January 2009
0 references
heavy-tailed risks
0 references
nonlinear transformations
0 references
portfolios
0 references
diversification
0 references
riskiness
0 references
value at risk
0 references
risk bounds
0 references
Pareto-type distributions
0 references
power laws
0 references
local and moderate deviations
0 references
domain of attraction of stable distributions
0 references
0 references
0.8381771445274353
0 references
0.8348479270935059
0 references
0.826519250869751
0 references
0.7877403497695923
0 references
0.7786675095558167
0 references
