Article ID Journal Published Year Pages File Type
5057958 Economics Letters 2016 6 Pages PDF
Abstract

We show that diversification does not reduce Value-at-Risk for a large class of dependent heavy tailed risks. The class is characterized by power law marginals with tail exponent no greater than one and by a general dependence structure which includes some of the most commonly used copulas.

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Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Heavy tails and copulas: Limits of diversification revisited
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