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- W1569114415 abstract "In this study, we propose a new method based on the large deviations theory to selectan optimal investment for a large portfolio such that the risk, which is defined as the probabilitythat the portfolio return underperforms an investable benchmark, is minimal. As aparticular case, we examine the effect of two types of asymmetric dependence; 1) asymmetryin a portfolio return distribution, and 2) asymmetric dependence between asset returns, onthe optimal portfolio invested in two risky assets. Furthermore, since our analysis is basedon a parametric framework, this allows us to formulate a close-form relationship betweenthe measures of correlation and the optimal portfolio. Finally, we calibrate our methodwith equity data, namely S&P 500 and Bangkok SET. The empirical evidences confirmthat there is a significant impact of asymmetric dependence on optimal portfolio and risk." @default.
- W1569114415 created "2016-06-24" @default.
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- W1569114415 date "2006-01-01" @default.
- W1569114415 modified "2023-09-27" @default.
- W1569114415 title "Optimal Long Term Investment in a Jump Diffusion Setting: A Large Deviation Approach" @default.
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- W1569114415 doi "https://doi.org/10.2139/ssrn.1262612" @default.
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