Value at risk and the diversification dogma
Arturo Erdely
| Alternative title: | Valor en riesgo y el dogma de la diversificación |
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| Year of publication: |
Deciembre 2017
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| Authors: | Erdely, Arturo |
| Published in: |
Revista de métodos cuantitativos para la economía y la empresa. - Sevilla : [Verlag nicht ermittelbar], ISSN 1886-516X, ZDB-ID 2584041-1. - Vol. 24.2017, p. 209-219
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| Subject: | value at risk | loss aggregation | comonotonicity | diversification | Theorie | Theory | Risikomaß | Risk measure | Diversifikation | Diversification | Portfolio-Management | Portfolio selection | Risiko | Risk |
| Description of contents: |
The so-called risk diversification principle is analyzed, showing that its convenience depends on individual characteristics of the risks involved and the dependence relationship among them.
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freely available
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | hdl:10419/195388 [Handle] |
| Classification: | G11 - Portfolio Choice ; G22 - Insurance; Insurance Companies |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011845500