Approximating Large Diversified Portfolios

DOI10.1111/1467-9965.00081zbMath1021.91027OpenAlexW1979268495MaRDI QIDQ4791734

Eckhard Platen, Norbert Hofmann

Publication date: 2 February 2003

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00081

zbMATH Keywords

strong convergenceweak convergencestochastic differential equationsdiversificationlarge portfolios

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)

Related Items (4)

Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market ⋮ Analytical VaR for international portfolios with common jumps ⋮ VaR: exchange rate risk and jump risk ⋮ Diversified portfolios with jumps in a benchmark framework

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