Diversification limit of quantiles under dependence uncertainty

DOI10.1007/S10687-016-0245-5MaRDI QIDQ291398zbMATHOpenAlexFDO

Authors Valeria Bignozzi, Tiantian Mao, Bin Wang, Ruodu Wang

Publication date 7 June 2016

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-016-0245-5

zbMATH Keywords

asymptoticsvalue-at-riskdependence uncertaintydiversification ratioextreme value analysis

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Distribution theory (60E99)

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Cited in

(5)

• Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence
• Diversification quotients based on VaR and ES
• Worst case portfolio vectors and diversification effects
• Asymptotic analysis of portfolio diversification
• Dependence structure of risk factors and diversification effects

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