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A note on portfolios of averages of lognormal variables - MaRDI portal

A note on portfolios of averages of lognormal variables (Q6072269)

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scientific article; zbMATH DE number 7749731
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English
A note on portfolios of averages of lognormal variables
scientific article; zbMATH DE number 7749731

    Statements

    title
    A note on portfolios of averages of lognormal variables (English)
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    author
    Phelim P. Boyle
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    Ruihong Jiang
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    publication date
    12 October 2023
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    zbMATH Keywords
    lognormal distribution
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    sum of lognormals
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    block covariance matrix
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    limiting distribution
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    moment formulae
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    Identifiers

    zbMATH DE Number
    7749731
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    OpenAlex ID
    W4381885384
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