Risk concentration and diversification: Second-order properties
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Cited by:
- Jaume Belles‐Sampera & Montserrat Guillén & Miguel Santolino, 2014. "Beyond Value‐at‐Risk: GlueVaR Distortion Risk Measures," Risk Analysis, John Wiley & Sons, vol. 34(1), pages 121-134, January.
- Bikramjit Das & Marie Kratz, 2017. "Diversification benefits under multivariate second order regular variation," Working Papers hal-01520655, HAL.
- Gilles Boevi Koumou & Georges Dionne, 2022.
"Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation,"
Risks, MDPI, vol. 10(11), pages 1-19, October.
- Koumou, Gilles Boevi & Dionne, Georges, 2019. "Coherent diversification measures in portfolio theory: An axiomatic foundation," Working Papers 19-2, HEC Montreal, Canada Research Chair in Risk Management.
- Gilles Boevi KOUMOU & Georges DIONNE, 2021. "Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation," Working Papers 7, Africa Institute for Research in Economics and Social Sciences.
- Hua, Lei & Joe, Harry, 2011. "Second order regular variation and conditional tail expectation of multiple risks," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 537-546.
- Tong, Bin & Wu, Chongfeng & Xu, Weidong, 2012. "Risk concentration of aggregated dependent risks: The second-order properties," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 139-149.
- Navya Jayesh Mehta & Fan Yang, 2022. "Portfolio Optimization for Extreme Risks with Maximum Diversification: An Empirical Analysis," Risks, MDPI, vol. 10(5), pages 1-26, May.
- Mao, Tiantian & Lv, Wenhua & Hu, Taizhong, 2012. "Second-order expansions of the risk concentration based on CTE," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 449-456.
- Lv, Wenhua & Pan, Xiaoqing & Hu, Taizhong, 2013. "Asymptotics of the risk concentration based on the tail distortion risk measure," Statistics & Probability Letters, Elsevier, vol. 83(12), pages 2703-2710.
- Peng, Zuoxiang & Liao, Xin, 2015. "Second-order asymptotics for convolution of distributions with light tails," Statistics & Probability Letters, Elsevier, vol. 106(C), pages 199-208.
- Takashi Kato, 2017. "Theoretical Sensitivity Analysis For Quantitative Operational Risk Management," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-23, August.
- Mao, Tiantian & Yang, Fan, 2015. "Risk concentration based on Expectiles for extreme risks under FGM copula," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 429-439.
- Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.
- Das, Bikramjit & Kratz, Marie, 2017. "Diversification benefits under multivariate second order regular variation," ESSEC Working Papers WP1706, ESSEC Research Center, ESSEC Business School.
- Cui, Hengxin & Tan, Ken Seng & Yang, Fan & Zhou, Chen, 2022. "Asymptotic analysis of portfolio diversification," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 302-325.
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Keywords
IE43 Diversification Second-order regular variation Second-order subexponentiality Subadditivity Value-at-Risk;JEL classification:
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