Second-Order Asymptotics of the Risk Concentration of a Portfolio with Deflated Risks
Joint Authors
Chen, Yu
Gao, Yu
Gao, Wenxue
Zhang, Weiping
Source
Mathematical Problems in Engineering
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-04-17
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
The quantification of diversification benefits due to risk aggregation has received more attention in the recent literature.
In this paper, we establish second-order asymptotics of the risk concentration based on several risk measures for a portfolio of n identically distributed but dependent deflated risks Xj=RjS, j=1,2,…,n under the assumptions of second-order regular variation on the survival functions of the risks Rj and the deflator S, where R1,R2,…,Rn are n independent and identically distributed random variables with a common survival function and S is a random variable being independent of R1,R2,…,Rn.
Examples are also given to illustrate our main results.
American Psychological Association (APA)
Chen, Yu& Gao, Yu& Gao, Wenxue& Zhang, Weiping. 2018. Second-Order Asymptotics of the Risk Concentration of a Portfolio with Deflated Risks. Mathematical Problems in Engineering،Vol. 2018, no. 2018, pp.1-12.
https://search.emarefa.net/detail/BIM-1207593
Modern Language Association (MLA)
Chen, Yu…[et al.]. Second-Order Asymptotics of the Risk Concentration of a Portfolio with Deflated Risks. Mathematical Problems in Engineering No. 2018 (2018), pp.1-12.
https://search.emarefa.net/detail/BIM-1207593
American Medical Association (AMA)
Chen, Yu& Gao, Yu& Gao, Wenxue& Zhang, Weiping. Second-Order Asymptotics of the Risk Concentration of a Portfolio with Deflated Risks. Mathematical Problems in Engineering. 2018. Vol. 2018, no. 2018, pp.1-12.
https://search.emarefa.net/detail/BIM-1207593
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1207593
