We show that diversification does not reduce Value-at-Risk for a large class of dependent heavy tailed risks. The class is characterized by power law marginals with tail exponent no greater than one and by a general dependence structure which includes some of the most commonly used copulas.
| Original language | English |
|---|---|
| Pages (from-to) | 102-107 |
| Number of pages | 6 |
| Journal | Economics Letters |
| Volume | 149 |
| DOIs | |
| State | Published - 1 Dec 2016 |
| Externally published | Yes |
ID: 36345789