On asymptotic diversification effects for heavy-tailed risks.
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Publication:3564982
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- Convolutions of heavy-tailed random variables and applications to portfolio diversification and \(\text{MA}(1)\) time series
- A note on asymptotic portfolio loss order of multivariate regularly varying risks
- Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence
- Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
- Ordering of multivariate risk models with respect to extreme portfolio losses
- Second-order asymptotics of tail distortion risk measure for portfolio loss in the multivariate regularly varying model
- Asymptotic analysis of portfolio diversification
- Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks
- Portfolio diversification under local and moderate deviations from power laws
- The effect of aggregation on extremes from asymptotically independent light-tailed risks
- Estimating asymptotic dependence functionals in multivariate regularly varying models
- Relations between the spectral measures and dependence of MEV distributions
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