A note on portfolios of averages of lognormal variables

DOI10.1016/j.insmatheco.2023.06.001zbMath1527.91146OpenAlexW4381885384MaRDI QIDQ6072269

Phelim P. Boyle, Ruihong Jiang

Publication date: 12 October 2023

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2023.06.001

zbMATH Keywords

limiting distributionlognormal distributionmoment formulaeblock covariance matrixsum of lognormals

Mathematics Subject Classification ID

Portfolio theory (91G10) Actuarial mathematics (91G05)

Cites Work

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• Asymptotics of sums of lognormal random variables with Gaussian copula
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• A New Parametrization of Correlation Matrices
• The eigenstructure of block-structured correlation matrices and its implications for principal component analysis
• Correlation matrix with block structure and efficient sampling methods
• Ground states in non-relativistic quantum electrodynamics.
• Tail behavior of sums and differences of log-normal random variables

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