Portfolio diversification under local and moderate deviations from power laws

DOI10.1016/j.insmatheco.2007.06.006zbMath1152.91515OpenAlexW2171037470WikidataQ126211531 ScholiaQ126211531MaRDI QIDQ998273

Johan Walden, Rustam Ibragimov

Publication date: 28 January 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://nrs.harvard.edu/urn-3:HUL.InstRepos:2640586

zbMATH Keywords

nonlinear transformationspower lawsdiversificationvalue at riskportfoliosrisk boundsPareto-type distributionsriskinessdomain of attraction of stable distributionsheavy-tailed riskslocal and moderate deviations

Mathematics Subject Classification ID

Related Items (8)

Heavy tails and copulas: limits of diversification revisited ⋮ Risk concentration of aggregated dependent risks: the second-order properties ⋮ Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks ⋮ On the robustness of location estimators in models of firm growth under heavy-tailedness ⋮ Dependence structure of risk factors and diversification effects ⋮ Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? ⋮ Bounds on total economic capital: the DNB case study ⋮ Bounds for the sum of dependent risks having overlapping marginals

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