Subadditivity of value-at-risk for bernoulli random variables

Marius Hofert, Alexander J. McNeil

Research output: Contribution to journalArticle

Abstract

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
Volume98
DOIs
Publication statusPublished - 1 Mar 2015

Keywords

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

ASJC Scopus subject areas

  • Statistics, Probability and Uncertainty
  • Statistics and Probability

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