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

Xiaoou Li; Jingchen Liu; Gongjun Xu

doi:10.1287/moor.2015.0724

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

Xiaoou Li, Jingchen Liu, Gongjun Xu

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

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.

Original language	English (US)
Pages (from-to)	236-246
Number of pages	11
Journal	Mathematics of Operations Research
Volume	41
Issue number	1
DOIs	https://doi.org/10.1287/moor.2015.0724
State	Published - Feb 2016
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2016 INFORMS.

Copyright:
Copyright 2017 Elsevier B.V., All rights reserved.

Keywords

Change of measure
Exponential integral
Gaussian process

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10.1287/moor.2015.0724

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abstract = "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.",

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AU - Liu, Jingchen

AU - Xu, Gongjun

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AB - 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.

KW - Change of measure

KW - Exponential integral

KW - Gaussian process

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

Abstract

Bibliographical note

Keywords

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