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In this paper, we investigate the asymptotic behavior of the portfolio diversification ratio based on Value …-at-Risk (quantile) under dependence uncertainty, which we refer to as "worst-case diversification limit." We show that the worst …-case diversification limit is equal to the upper limit of the worst-case diversification ratio under mild conditions on the portfolio …
Persistent link: https://www.econbiz.de/10013004872