Convolutions of heavy-tailed random variables and applications to portfolio diversification and MA(1) time series

JL (Jaap) Geluk, L (Liang) Peng, Casper de Vries

Research output: Contribution to journal › Article › Academic › peer-review

14 Citations (Scopus)

Original language	Undefined/Unknown
Pages (from-to)	1011-1026
Number of pages	16
Journal	Advances in Applied Probability
Volume	32
DOIs	https://doi.org/10.1239/aap/1013540345
Publication status	Published - 2000

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title = "Convolutions of heavy-tailed random variables and applications to portfolio diversification and MA(1) time series",

author = "Geluk, {JL (Jaap)} and Peng, {L (Liang)} and {de Vries}, Casper",

year = "2000",

doi = "10.1239/aap/1013540345",

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T1 - Convolutions of heavy-tailed random variables and applications to portfolio diversification and MA(1) time series

AU - Geluk, JL (Jaap)

AU - Peng, L (Liang)

AU - de Vries, Casper

PY - 2000

Y1 - 2000

U2 - 10.1239/aap/1013540345

DO - 10.1239/aap/1013540345

M3 - Article

VL - 32

SP - 1011

EP - 1026

JO - Advances in Applied Probability

JF - Advances in Applied Probability

SN - 0001-8678

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