Large deviations theorems for optimal investment problems with large portfolios

DOI10.1016/j.ejor.2010.12.007zbMath1237.91203OpenAlexW2000561475MaRDI QIDQ418070

J. Herrera, H. S. Yoon

Publication date: 14 May 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2010.12.007

zbMATH Keywords

large deviationsoptimal portfolioEdgeworth expansionshortfall probability

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Extreme value theory; extremal stochastic processes (60G70) Portfolio theory (91G10)

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Estimation of the realized (co-)volatility vector: large deviations approach, The law of the iterated logarithm for two-dimensional stochastic Navier-Stokes equations

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