Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios

DOI10.1007/s10436-011-0182-xzbMath1298.91133OpenAlexW2159769112MaRDI QIDQ470428

Ba Chu

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-011-0182-x

zbMATH Keywords

large deviationsdiversificationshortfall probabilitieswindfall probabilities

Mathematics Subject Classification ID

Large deviations (60F10) Portfolio theory (91G10)

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