Convolutions of heavy-tailed random variables and applications to portfolio diversification and MA(1) time series

• Geluk, J.L.
• Peng, L.
• Vries, C.G. de

January 2000
Article

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• tail index
• time-series analysis
• probability
• portfolio diversification

• portfolio
• order
• diversification
• return
• e |xi |
• tail risk
• f 3-i
• order scale coefficient
• index
• function
• result
• distribution
• theorem
• t 2 p
• i =1 2
• f 3- i
• asset
• estimation
• condition
• process