Optimal investment and asymmetric risk: a large deviations approach

DOI10.1080/02331930903500241zbMATH Open1191.62175OpenAlexW2040210691MaRDI QIDQ3553748FDOQ3553748

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

large deviationsoptimal portfolioEdgeworth approximationshortfall probabilitynonlinear correlationsasymmetric gamma distributionoverfall probability

Mathematics Subject Classification ID

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)

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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)

• Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
• Approximation of asymmetric multivariate return distributions
• Large deviations theorems for optimal investment problems with large portfolios
• 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
• Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets

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