Diversification benefits under multivariate second order regular variation

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

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