Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence

DOI10.1111/mafi.12393MaRDI QIDQ6146694

Lujun Li, Jing-Ping Yang, Liulei Sun, Wenhao Zhu, Jie Hua Xie

Publication date: 31 January 2024

Published in: Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

copulavalue-at-risktail dependence functionasymptotic diversification ratioasymptotic subadditivity/superadditivitymarginal regiontail concave order

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

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