A note on portfolios of averages of lognormal variables
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Publication:6072269
DOI10.1016/J.INSMATHECO.2023.06.001zbMATH Open1527.91146OpenAlexW4381885384MaRDI QIDQ6072269FDOQ6072269
Authors: Phelim 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
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Cites Work
- Approximation theorems of mathematical statistics
- Ground states in non-relativistic quantum electrodynamics.
- On the Laplace transform of the lognormal distribution
- Title not available (Why is that?)
- Asymptotics of sums of lognormal random variables with Gaussian copula
- Fast and accurate computation of the distribution of sums of dependent log-normals
- Correlation matrix with block structure and efficient sampling methods
- A New Parametrization of Correlation Matrices
- Tail behavior of sums and differences of log-normal random variables
- An introduction to probability and statistics
- The eigenstructure of block-structured correlation matrices and its implications for principal component analysis
- On log-normal convolutions: an analytical-numerical method with applications to economic capital determination
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