Diversification in heavy-tailed portfolios: Properties and pitfalls

Annals of Actuarial Science

Volumn 7, Issue 1, 2012, Pages 26-45

  Mainik, Georg ^a   Embrechts, Paul ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Diversification; heavy tails; infinite means; multivariate regular variation; risk subadditivity; risk superadditivity; tail dependence; Value at Risk

Indexed keywords

EID: 84878648206     PISSN: 17484995     EISSN: 17485002     Source Type: Journal    
DOI: 10.1017/S1748499512000280     Document Type: Article

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