Optimal investment and asymmetric risk: a large deviations approach
DOI10.1080/02331930903500241zbMATH Open1191.62175OpenAlexW2040210691MaRDI QIDQ3553748FDOQ3553748
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Publication date: 21 April 2010
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331930903500241
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large deviationsoptimal portfolioEdgeworth approximationshortfall probabilitynonlinear correlationsasymmetric gamma distributionoverfall probability
Large deviations (60F10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Limit theorems in probability theory (60F99)
Cites Work
Cited In (7)
- Characterizing the asymmetric dependence premium
- Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process
- 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
- Approximation of asymmetric multivariate return distributions
- Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
- Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets
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