Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series

Jaap Geluk (), Liang Peng and Casper G. de Vries ()
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Jaap Geluk: Econometric Institute, Erasmus University Rotterdam
Liang Peng: Center for Mathematics and its Applications, Australian National University, Canberra

No 99-088/2, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: 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.

New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fin
Date: 1999-11-18
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Persistent link: http://EconPapers.repec.org/RePEc:dgr:uvatin:19990088

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