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- W2907182694 abstract "Suppose X 1 , X 2 are independent random variables satisfying a second-order regular variation condition on the tail-sum and a balance condition on the tails. In this paper we give a description of the asymptotic behaviour as t → ∞ for P( X 1 + X 2 > t ). The result is applied to the problem of risk diversification in portfolio analysis and to the estimation of the parameter in a MA(1) model." @default.
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- W2907182694 date "2000-12-01" @default.
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- W2907182694 title "Convolutions of heavy-tailed random variables and applications to portfolio diversification and MA(1) time series" @default.
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- W2907182694 doi "https://doi.org/10.1017/s0001867800010430" @default.
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