The paper characterizes first and second order tail behavior of convolutions of i.i.d. heavy tailed random variables with support on the real line. The result is applied to the problem of risk diversification in portfolio analysis and to the estimation of the parameter in a MA(1) model.

hdl.handle.net/1765/7711
Tinbergen Institute Discussion Paper Series
Tinbergen Institute

Geluk, J.L, Peng, L, & de Vries, C.G. (1999). Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series (No. TI 99-088/2). Tinbergen Institute Discussion Paper Series. Retrieved from http://hdl.handle.net/1765/7711