Asymptotic Dynamics and Value-at-Risk of Large Diversified Portfolios in a Jump-Diffusion Market
This paper studies the modelling of large diversi ed portfolios in a nancial market with jump-di usion risks. The portfolios considered include three categories: equal money-weighted portfolios, risk minimizing portfolios, and market indices. Reduced-form dynamics driven jointly by one Brownian Moti...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2003
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/1910 https://ink.library.smu.edu.sg/context/lkcsb_research/article/2909/viewcontent/0703paper.pdf |
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| Institution: | Singapore Management University |
| Language: | English |