Diversification limit of quantiles under dependence uncertainty

DOI10.1007/s10687-016-0245-5zbMath1397.60059OpenAlexW3122171926MaRDI QIDQ291398

Ruodu Wang, Tiantian Mao, Valeria Bignozzi, Bin 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

asymptoticsextreme value analysisvalue-at-riskdependence uncertaintydiversification ratio

Mathematics Subject Classification ID

Related Items (2)

Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence ⋮ Diversification quotients based on VaR and ES

Uses Software

• QRM

Cites Work

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