On the Tail Probabilities of Aggregated Lognormal Random Fields with Small Noise

被引：2

作者：

Li, Xiaoou ^{[1
]}

Liu, Jingchen ^{[1
]}

Xu, Gongjun ^{[2
]}

机构：

[1] Columbia Univ, Dept Stat, New York, NY 10027 USA

[2] Univ Minnesota, Sch Stat, Se Minneapolis, MN 55455 USA

来源：

MATHEMATICS OF OPERATIONS RESEARCH | 2016年 / 41卷 / 01期

基金：

美国国家科学基金会;

关键词：

Gaussian process; exponential integral; change of measure; GAUSSIAN RANDOM-FIELDS; VALUE-AT-RISK; RANDOM-VARIABLES; BROWNIAN-MOTION; INTEGRALS; SUMS;

D O I：

10.1287/moor.2015.0724

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We develop asymptotic approximations for the tail probabilities of integrals of lognormal random fields. We consider the asymptotic regime that the variance of the random field converges to zero. Under this setting, the integral converges to its limiting value. This analysis is of interest in considering short-term portfolio risk analysis (such as daily performance), for which the variances of log-returns could be as small as a few percent.

引用

页码：236 / 246

页数：11

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