Subadditivity of value-at-risk for bernoulli random variables

Marius Hofert*, Alexander J. McNeil

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


Necessary and sufficient conditions for the subadditivity of Value-at-Risk (V aRα) for portfolios of bonds are presented under various dependence assumptions. For sufficiently large α, V aRα is subadditive. However, for any α one can construct portfolios for which V aRα is superadditive.

Original languageEnglish
Pages (from-to)79-88
Number of pages10
JournalStatistics and Probability Letters
Publication statusPublished - 1 Mar 2015


  • Bernoulli random variables
  • Portfolio of bonds
  • Risk measure
  • Superadditivity
  • Value-at-Risk

ASJC Scopus subject areas

  • Statistics, Probability and Uncertainty
  • Statistics and Probability


Dive into the research topics of 'Subadditivity of value-at-risk for bernoulli random variables'. Together they form a unique fingerprint.

Cite this