Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios
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Publication:470428
DOI10.1007/S10436-011-0182-XzbMATH Open1298.91133OpenAlexW2159769112MaRDI QIDQ470428FDOQ470428
Authors: Ba Chu 
Publication date: 12 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-011-0182-x
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Cites Work
- Coherent measures of risk
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Foundations of Risk Measurement. I. Risk As Probable Loss
- Title not available (Why is that?)
- Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
- Factor representing portfolios in large asset markets
- Risk Management with Benchmarking
- Portfolio choice with endogenous utility: a large deviations approach.
- Capital market equilibrium without riskless assets: heterogeneous expectations
- Exact arbitrage and portfolio analysis in large asset markets
- Mean Lower Partial Moment Valuation and Lognormally Distributed Returns
- Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
Cited In (7)
- Application of large deviations method in the portfolio
- Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
- Gaussian and logistic adaptations of smoothed safety first
- Large deviations theorems for optimal investment problems with large portfolios
- \(K\)-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance?
- Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets
- Optimal investment and asymmetric risk: a large deviations approach
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