2000-12-01
Convolutions of heavy-tailed random variables and applications to portfolio diversification and MA(1) time series
Publication
Publication
Advances in Applied Probability , Volume 32 - Issue 4 p. 1011- 1026
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doi.org/10.1239/aap/1013540345, hdl.handle.net/1765/54286 | |
Advances in Applied Probability | |
Organisation | Tinbergen Institute |
Geluk, J., Peng, L., & de Vries, C. (2000). Convolutions of heavy-tailed random variables and applications to portfolio diversification and MA(1) time series. Advances in Applied Probability, 32(4), 1011–1026. doi:10.1239/aap/1013540345 |