Diversification benefits under multivariate second order regular variation

Bikramjit Das (1) , Marie Kratz (2)

1 SUTD - Singapore University of Technology and Design
2 ESSEC Business School

We analyze risk diversification in a portfolio of heavy-tailed risk factors under the assumption of second order multivariate regular variation. Asymptotic limits for a measure of diversification benefit are obtained when considering, for instance, the value-at-risk . The asymptotic limits are computed in a few examples exhibiting a variety of different assumptions made on marginal or joint distributions. This study ties up existing related results available in the literature under a broader umbrella.

Mots clés: asymptotic theory; diversi cation bene t; heavy tail; risk concentration; second order regular variation; value-at-risk

Domaines: Probabilités [math.PR]

Bikramjit Das, Marie Kratz. Diversification benefits under multivariate second order regular variation. 2017. ⟨hal-01520655⟩