Large deviations theorems for optimal investment problems with large portfolios

DOI10.1016/J.EJOR.2010.12.007MaRDI QIDQ418070zbMATH OpenOpenAlexFDO

Authors Ba Chu, John Knight, Stephen Satchell

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

zbMATH Keywords

Edgeworth expansionlarge deviationsoptimal portfolioshortfall probability

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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Cites work

• Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
• Foundations of Risk Measurement. I. Risk As Probable Loss
• scientific article; zbMATH DE number 3613353 (Why is no real title available?)
• scientific article; zbMATH DE number 3271181 (Why is no real title available?)
• Large deviations
• On Large Deviations, I
• Optimal portfolio selection and dynamic benchmark tracking
• Portfolio choice with endogenous utility: a large deviations approach.
• Risk Management with Benchmarking
• Statistical modelling of asymmetric risk in asset returns
• The Efficiency Analysis of Choices Involving Risk

Cited in

(11)

• Portfolio choice with endogenous utility: a large deviations approach.
• Estimation of the realized (co-)volatility vector: large deviations approach
• On the strategic behavior of large investors: a mean-variance portfolio approach
• Optimal investment and asymmetric risk: a large deviations approach
• Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets
• A LARGE DEVIATION APPROACH TO PORTFOLIO MANAGEMENT
• Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
• Application of large deviations method in the portfolio
• Bounds for portfolio weights in decentralized asset allocation
• The law of the iterated logarithm for two-dimensional stochastic Navier-Stokes equations
• Large deviations: a survey on its theory and applications

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