Optimal investment and asymmetric risk: a large deviations approach

DOI10.1080/02331930903500241zbMath1191.62175OpenAlexW2040210691MaRDI QIDQ3553748

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Publication date: 21 April 2010

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930903500241

zbMATH Keywords

large deviationsoptimal portfolioEdgeworth approximationshortfall probabilitynonlinear correlationsasymmetric gamma distributionoverfall probability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Applications of mathematical programming (90C90) Large deviations (60F10) Portfolio theory (91G10) Limit theorems in probability theory (60F99)

Related Items (1)

Approximation of asymmetric multivariate return distributions

Cites Work

• Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
• Portfolio choice with endogenous utility: a large deviations approach.
• On Large Deviations, I

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