Asymptotic analysis of portfolio diversification

DOI10.1016/j.insmatheco.2022.07.010zbMath1498.91381OpenAlexW4285098188MaRDI QIDQ2172054

Yanyan Li

Publication date: 14 September 2022

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2022.07.010

zbMATH Keywords

asymptotic analysisportfolio optimizationdiversificationrisk managementmultivariate regularly variation

Mathematics Subject Classification ID

Portfolio theory (91G10) Actuarial mathematics (91G05)

Related Items (1)

Diversification quotients based on VaR and ES

Uses Software

• QRM

Cites Work

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