Heavy tails and copulas: limits of diversification revisited
File(s)paper_final_EL.pdf (330.25 KB)
Accepted version
Author(s)
Ibragimov, R
Prokhorov, A
Type
Journal Article
Abstract
We show that diversification does not reduce Value-at-Risk for a large class of dependent heavy tailed risks. The class is characterized by power law marginals with tail exponent no greater than one and by a general dependence structure which includes some of the most commonly used copulas.
Date Issued
2016-12-01
Date Acceptance
2016-10-19
Citation
Economics Letters, 2016, 149, pp.102-107
ISSN
0165-1765
Publisher
Elsevier
Start Page
102
End Page
107
Journal / Book Title
Economics Letters
Volume
149
Copyright Statement
© 2016 Elsevier B.V. All rights reserved. This manuscript is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence http://creativecommons.org/licenses/by-nc-nd/4.0/
Sponsor
Russian Science Foundation
Identifier
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000390085000025&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202
Grant Number
16-18-10432
Subjects
Social Sciences
Economics
Business & Economics
Value at risk
Diversification
Power law
Power-type copulas
DEPENDENT RISKS
RANDOM-VARIABLES
DISTRIBUTIONS
TAILEDNESS
BEHAVIOR
SUMS
Publication Status
Published
Date Publish Online
2016-10-26