Portfolio diversification under local and moderate deviations from power laws
نویسندگان
چکیده
منابع مشابه
Portfolio Diversification under Local and Moderate Deviations from Power Laws
This paper analyzes portfolio diversification for nonlinear transformations of heavy-tailed risks. It is shown that diversification of a portfolio of convex functions of heavy-tailed risks increases the portfolio’s riskiness, if expectations of these risks are infinite. On the contrary, for concave functions of heavy-tailed risks with finite expectations, the stylized fact that diversification ...
متن کاملInformation Acquisition and Portfolio Under-Diversification
We develop a rational model of investors who choose which asset payoffs to acquire information about, before forming portfolios. Scale economies in information acquisition lead investors to specialize in learning about a set of highly-correlated assets. Knowing more about these assets makes them less risky and more desirable to hold. Benefits to specialization compete with benefits to diversifi...
متن کاملLarge and moderate deviations for intersection local times
We study the large and moderate deviations for intersection local times generated by, respectively, independent Brownian local times and independent local times of symmetric random walks. Our result in the Brownian case generalizes the large deviation principle achieved in Mansmann (1991) for the L2-norm of Brownian local times, and coincides with the large deviation obtained by Csörgö, Shi and...
متن کاملModerate Deviations and Laws of the Iterated Logarithm for the Local times of Additive Lévy Processes and Additive Random Walks
We study the upper tail behaviors of the local times of the additive Lévy processes and additive random walks. The limit forms we establish are the moderate deviations and the laws of the iterated logarithm for the L2-norms of the local times and for the local times at a fixed site. Subject classifications: 60F10, 60F15, 60J55, 60G52
متن کاملLarge deviations and portfolio optimization
Risk control and optimal diversification constitute a major focus in the finance and insurance industries as well as, more or less consciously, in our everyday life. We present a discussion of the characterization of risks and of the optimization of portfolios that starts from a simple illustrative model and ends by a general functional integral formulation. A major item is that risk, usually t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2008
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2007.06.006