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

15 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

Research programs

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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

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JO - Advances in Applied Probability

JF - Advances in Applied Probability

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