Heavy tails and copulas: limits of diversification revisited

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Title: Heavy tails and copulas: limits of diversification revisited
Authors: Ibragimov, R
Prokhorov, A
Item 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.
Issue Date: 1-Dec-2016
Date of Acceptance: 19-Oct-2016
URI: http://hdl.handle.net/10044/1/66639
DOI: https;//dx.doi.org/10.1016/j.econlet.2016.10.024
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/Funder: Russian Science Foundation
Funder's Grant Number: 16-18-10432
Keywords: Social Sciences
Economics
Business & Economics
Value at risk
Diversification
Power law
Power-type copulas
DEPENDENT RISKS
RANDOM-VARIABLES
DISTRIBUTIONS
TAILEDNESS
BEHAVIOR
SUMS
14 Economics
Publication Status: Published
Online Publication Date: 2016-10-26
Appears in Collections:Imperial College Business School



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