Article ID Journal Published Year Pages File Type
1154536 Statistics & Probability Letters 2015 10 Pages PDF
Abstract

Necessary and sufficient conditions for the subadditivity of Value-at-Risk (V aRαV aRα) for portfolios of bonds are presented under various dependence assumptions. For sufficiently large αα, V aRαV aRα is subadditive. However, for any αα one can construct portfolios for which V aRαV aRα is superadditive.

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Physical Sciences and Engineering Mathematics Statistics and Probability
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Subadditivity of Value-at-Risk for Bernoulli random variables
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