A note on portfolios of averages of lognormal variables
Year of publication: |
2023
|
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Authors: | Boyle, Phelim P. ; Jiang, Ruihong |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 112.2023, p. 97-109
|
Subject: | Block covariance matrix | Limiting distribution | Lognormal distribution | Moment formulae | Sum of lognormals | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection |
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