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.

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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

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

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