Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/85706 
Year of Publication: 
1999
Series/Report no.: 
Tinbergen Institute Discussion Paper No. 99-088/2
Publisher: 
Tinbergen Institute, Amsterdam and Rotterdam
Abstract: 
The paper characterizes first and second order tail behavior ofconvolutions of i.i.d. heavy tailed random variables with supporton the real line. The result is applied to the problem of riskdiversification in portfolio analysis and to the estimation of theparameter in a MA(1) model.
Document Type: 
Working Paper

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