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Portfolio diversification effects and regular variation in financial data - MaRDI portal

Portfolio diversification effects and regular variation in financial data

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Publication:2567525

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zbMath1177.91124MaRDI QIDQ2567525

Casper G. de Vries, Namwon Hyung

Publication date: 11 October 2005

Published in: AStA. Allgemeines Statistisches Archiv (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (2)

Dependence structure of risk factors and diversification effects ⋮ ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES

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