Portfolio Diversification under Local and Moderate Deviations from Power Laws.
| Year of publication: |
2008
|
|---|---|
| Authors: | Walden, Johan ; Ibragimov, Rustam |
| Publisher: |
Elsevier |
| Subject: | riskiness | value at risk | local and moderate deviations | risk bounds | heavy-tailed risks | power laws | pareto-type distributions | domain of attraction of stable distributions | nonlinear transformations | portfolios | diversification |
| Type of publication: | Other |
|---|---|
| Language: | English |
| Notes: | Insurance: Mathematics and Economics |
| Source: | BASE |
Persistent link: https://www.econbiz.de/10009431952