A note on the large homogeneous portfolio approximation with the Student-\(t\) copula

DOI10.1007/S00780-004-0142-7zbMath1092.91031OpenAlexW2052424737MaRDI QIDQ2488500

Dominic O'Kane, Lutz Schloegel

Publication date: 24 May 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-004-0142-7

zbMATH Keywords

Student-\(t\) distributioncopula functionlarge portfolios

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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