Optimal investment and asymmetric risk: a large deviations approach

DOI10.1080/02331930903500241MaRDI QIDQ3553748zbMATH OpenOpenAlexFDO

Authors

Publication date 21 April 2010

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331930903500241

zbMATH Keywords

asymmetric gamma distributionEdgeworth approximationlarge deviationsnonlinear correlationsoptimal portfoliooverfall probabilityshortfall probability

Mathematics Subject Classification ID

Large deviations (60F10) Limit theorems in probability theory (60F99) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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Cites work

• Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
• On Large Deviations, I
• Portfolio choice with endogenous utility: a large deviations approach.

Cited in

(7)

• Approximation of asymmetric multivariate return distributions
• Symmetry-based solution of a model for a combination of a risky investment and a riskless investment
• Large deviations theorems for optimal investment problems with large portfolios
• Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets
• Characterizing the asymmetric dependence premium
• Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
• Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process

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