Large deviations theorems for optimal investment problems with large portfolios
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Publication:418070
DOI10.1016/j.ejor.2010.12.007zbMath1237.91203MaRDI QIDQ418070
Publication date: 14 May 2012
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2010.12.007
91G70: Statistical methods; risk measures
60G70: Extreme value theory; extremal stochastic processes
91G10: Portfolio theory