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 …

Fridrik M. Baldursson explores the effects of the economic policies prescribed by the IMF in response to the Iceland …