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- W4381885384 abstract "This paper establishes conditions under which a portfolio consisting of the averages of K blocks of lognormal variables converges to a K-dimensional lognormal variable as the number of variables in each block increases. The associated block covariance matrix has to have a special structure where the correlations and variances within the block submatrices are equal. We show why the variance homogeneity assumption plays a key role in the derivation." @default.
- W4381885384 created "2023-06-25" @default.
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- W4381885384 date "2023-09-01" @default.
- W4381885384 modified "2023-09-25" @default.
- W4381885384 title "A note on portfolios of averages of lognormal variables" @default.
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- W4381885384 doi "https://doi.org/10.1016/j.insmatheco.2023.06.001" @default.
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