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

2000

Additional Metadata
Keywords	portfolio diversification, probability, tail index, time-series analysis
Persistent URL	hdl.handle.net/1765/12390
Journal	Advances in Applied Probability
Organisation	Erasmus School of Economics
Citation APA APA Style APA-ALL Style AAA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	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, 1011–1026.http://hdl.handle.net/1765/12390

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