[R-SIG-Finance] Weighted Sums of Dependent Random Variables

Charlotte Maia maiagx at gmail.com
Fri Apr 16 02:59:15 CEST 2010


I'm interested in computing weighted sums of dependent random
variables (here, where the depended random variables are modelled
using a multivariate ECDF or related model).
The weighted sum is also a random variable itself, and I'm interested
in modelling, visualising, etc the (univariate) distribution of the
weighted sum.

I'm not really an expert on finance, plus I'm new to this particular
mailing list, so I apologise if there are any obvious theoretical
flaws in what I'm proposing, or if this topic has been discussed in
detail here or somewhere else.

However, if anyone is aware of any relatively general (and hopefully
open access) literature on distributions of weighted sums of dependent
random variables, where there are very liberal assumptions about the
multivariate distribution, could you please point me in the right
direction, it would truly be appreciated.

kind regards
Charlotte Maia

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