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 languageEnglish
Pages (from-to)102-107
Number of pages6
JournalEconomics Letters
Volume149
DOIs
StatePublished - 1 Dec 2016
Externally publishedYes

    Scopus subject areas

  • Finance
  • Economics and Econometrics

    Research areas

  • Diversification, Power law, Power-type copulas, Value at risk

ID: 36345789