Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 1999-11-18
Number: 99-088/2
Author-Name: Jaap Geluk
Author-Email: jgeluk@few.eur.nl
Author-Workplace-Name: Econometric Institute, Erasmus University Rotterdam
Author-Name: Liang Peng
Author-Workplace-Name: Center for Mathematics and its Applications, Australian National University, Canberra
Author-Name: Casper G. de Vries
Author-Email: cdevries@few.eur.nl
Author-Workplace-Name: Erasmus University Rotterdam
Title: Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series
Abstract: The paper characterizes first and second order tail behavior ofconvolutions of i.i.d. heavy tailed random variables with supporton the real line. The result is applied to the problem of riskdiversification in portfolio analysis and to the estimation of theparameter in a MA(1) model.
File-Url: https://papers.tinbergen.nl/99088.pdf
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Handle: RePEc:tin:wpaper:19990088