A LARGE DEVIATION APPROACH TO PORTFOLIO MANAGEMENT

DOI10.1142/S0219024900000140zbMath0966.91043OpenAlexW2122790330MaRDI QIDQ4528080

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Publication date: 20 August 2001

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024900000140

zbMATH Keywords

large deviationexpected utilitytail probabilitiesasset returnsdilation exponentportfolio selecton

Mathematics Subject Classification ID

Cites Work

• Strategic asset allocation
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets
• Large deviations of sums of independent random variables

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