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Heavy tails and copulas : Limits of diversification revisited. / Ibragimov, Rustam; Prokhorov, Artem.

In: Economics Letters, Vol. 149, 01.12.2016, p. 102-107.

Research output: Contribution to journal › Article › peer-review

Harvard

Ibragimov, R & Prokhorov, A 2016, 'Heavy tails and copulas: Limits of diversification revisited', Economics Letters, vol. 149, pp. 102-107. https://doi.org/10.1016/j.econlet.2016.10.024

APA

Ibragimov, R., & Prokhorov, A. (2016). Heavy tails and copulas: Limits of diversification revisited. Economics Letters, 149, 102-107. https://doi.org/10.1016/j.econlet.2016.10.024

Vancouver

Ibragimov R, Prokhorov A. Heavy tails and copulas: Limits of diversification revisited. Economics Letters. 2016 Dec 1;149:102-107. https://doi.org/10.1016/j.econlet.2016.10.024

Author

Ibragimov, Rustam ; Prokhorov, Artem. / Heavy tails and copulas : Limits of diversification revisited. In: Economics Letters. 2016 ; Vol. 149. pp. 102-107.

BibTeX

@article{e90bd9d135de46689bb6ed5ff2a7728a,
title = "Heavy tails and copulas: Limits of diversification revisited",
abstract = "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.",
keywords = "Diversification, Power law, Power-type copulas, Value at risk",
author = "Rustam Ibragimov and Artem Prokhorov",
year = "2016",
month = dec,
day = "1",
doi = "10.1016/j.econlet.2016.10.024",
language = "English",
volume = "149",
pages = "102--107",
journal = "Economics Letters",
issn = "0165-1765",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Heavy tails and copulas

T2 - Limits of diversification revisited

AU - Ibragimov, Rustam

AU - Prokhorov, Artem

PY - 2016/12/1

Y1 - 2016/12/1

N2 - 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.

AB - 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.

KW - Diversification

KW - Power law

KW - Power-type copulas

KW - Value at risk

UR - http://www.scopus.com/inward/record.url?scp=84993986271&partnerID=8YFLogxK

U2 - 10.1016/j.econlet.2016.10.024

DO - 10.1016/j.econlet.2016.10.024

M3 - Article

AN - SCOPUS:84993986271

VL - 149

SP - 102

EP - 107

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

ER -

ID: 36345789