Asymptotic distribution of the sample average value-at-risk in the case of heavy-tailed returns
نویسندگان
چکیده
In this paper, we provide a stable limit theorem for the asymptotic distribution of the sample average value-at-risk when the distribution of the underlying random variable X describing portfolio returns is heavy-tailed. We illustrate the convergence rate in the limit theorem assuming that X has a stable Paretian distribution and Student’s t distribution.
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