Subadditivity of Value-at-Risk for Bernoulli random variables

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

MoreLess

Year of publication:	2015
Authors:	Hofert, Marius ; McNeil, Alexander J.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 98.2015, C, p. 79-88
Publisher:	Elsevier
Subject:	Risk measure \| Value-at-Risk \| Superadditivity \| Bernoulli random variables \| Portfolio of bonds

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011189346