Tesis Univ. Granada. Departamento de Medicina. Leída el 6 de marzo de 200

Hyung, Namwon

Vries, Casper

Hyung, N.

Vries, de, C.G.

NARCIS 

Portfolio diversification effects and regular variation in financial data

Pardo Cabello, Alfredo José

Repositorio Institucional Universidad de Granada

Reacciones adversas medicamentosas fatales en pacientes hospitalizados

Portfolio risk is in an important way driven by 'abnormal' returns emanating from heavy tailed distributed asset returns. The theory of regular variation and extreme values provides a model for this feature of financial data. We first review this theory and subsequently study the problem of portfolio diversification in particular. We show that if the portfolio asset return distributions are regulary varying at infinity, then Feller's convolution theorem implies that the portfolio diversification is more effective than if the underlying distribution would be normal. This is illustrated by a simulation study and an application to S&P stock returns

Hyung, N. (Namwon)

Vries, C.G. (Casper) de

Erasmus University Digital Repository

Portfolio Diversification Effects and Regular Variation in Financial Data

de Vries, Casper G.

EconStor (ZBW Kiel)

Pure OAI Repository

English

https://www.econstor.eu/dspace/bitstream/10419/85776/1/01070.pdf

Reacciones adversas medicamentosas fatales en pacientes hospitalizados

Abstract

Similar works

Full text

Available Versions

NARCIS

Repositorio Institucional Universidad de Granada

Erasmus University Digital Repository

EconStor (ZBW Kiel)

Pure OAI Repository

Pure OAI Repository