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Value at Risk and the Diversification Dogma || Valor en riesgo y el dogma de la diversificación

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  • Erdely, Arturo

    (Facultad de Estudios Superiores Acatlán. Universidad Nacional Autónoma de México (México))

Abstract

The so-called risk diversification principle is analyzed, showing that its convenience depends on individual characteristics of the risks involved and the dependence relationship among them. || Se analiza el principio de diversificación de riesgos y se demuestra que no siempre resulta mejor que no diversificar, pues esto depende de características individuales de los riesgos involucrados, así como de la relación de dependencia entre los mismos.

Suggested Citation

  • Erdely, Arturo, 2017. "Value at Risk and the Diversification Dogma || Valor en riesgo y el dogma de la diversificación," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 24(1), pages 209-219, Diciembre.
    • Handle: RePEc:pab:rmcpee:v:24:y:2018:i:1:p:5-24
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    value at risk; loss aggregation; comonotonicity; diversification; valor en riesgo; agregación de pérdidas; comonotonicidad; diversificación;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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