Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios

DOI10.1007/S10436-011-0182-XMaRDI QIDQ470428zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

large deviationsdiversificationshortfall probabilitieswindfall probabilities

Mathematics Subject Classification ID

Large deviations (60F10) Portfolio theory (91G10)

Recommendations

• Large deviations theorems for optimal investment problems with large portfolios
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Cites work

• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Capital market equilibrium without riskless assets: heterogeneous expectations
• Coherent measures of risk
• Exact arbitrage and portfolio analysis in large asset markets
• Factor representing portfolios in large asset markets
• Foundations of Risk Measurement. I. Risk As Probable Loss
• Mean Lower Partial Moment Valuation and Lognormally Distributed Returns
• Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• Portfolio choice with endogenous utility: a large deviations approach.
• Risk Management with Benchmarking

Cited in

(7)

• \(K\)-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?
• Application of large deviations method in the portfolio
• Large deviations theorems for optimal investment problems with large portfolios
• Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
• Optimal investment and asymmetric risk: a large deviations approach
• Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets
• Gaussian and logistic adaptations of smoothed safety first

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