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- Publisher Website: 10.1016/j.spl.2014.12.016
- Scopus: eid_2-s2.0-84920885389
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Article: Subadditivity of Value-at-Risk for Bernoulli random variables
Title | Subadditivity of Value-at-Risk for Bernoulli random variables |
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Authors | |
Keywords | Bernoulli random variables Portfolio of bonds Risk measure Superadditivity Value-at-Risk |
Issue Date | 2015 |
Citation | Statistics and Probability Letters, 2015, v. 98, p. 79-88 How to Cite? |
Abstract | Necessary and sufficient conditions for the subadditivity of Value-at-Risk (V aRα) for portfolios of bonds are presented under various dependence assumptions. For sufficiently large α, V aRα is subadditive. However, for any α one can construct portfolios for which V aRα is superadditive. |
Persistent Identifier | http://hdl.handle.net/10722/325631 |
ISSN | 2023 Impact Factor: 0.9 2023 SCImago Journal Rankings: 0.448 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Hofert, Marius | - |
dc.contributor.author | McNeil, Alexander J. | - |
dc.date.accessioned | 2023-02-27T07:34:54Z | - |
dc.date.available | 2023-02-27T07:34:54Z | - |
dc.date.issued | 2015 | - |
dc.identifier.citation | Statistics and Probability Letters, 2015, v. 98, p. 79-88 | - |
dc.identifier.issn | 0167-7152 | - |
dc.identifier.uri | http://hdl.handle.net/10722/325631 | - |
dc.description.abstract | Necessary and sufficient conditions for the subadditivity of Value-at-Risk (V aRα) for portfolios of bonds are presented under various dependence assumptions. For sufficiently large α, V aRα is subadditive. However, for any α one can construct portfolios for which V aRα is superadditive. | - |
dc.language | eng | - |
dc.relation.ispartof | Statistics and Probability Letters | - |
dc.subject | Bernoulli random variables | - |
dc.subject | Portfolio of bonds | - |
dc.subject | Risk measure | - |
dc.subject | Superadditivity | - |
dc.subject | Value-at-Risk | - |
dc.title | Subadditivity of Value-at-Risk for Bernoulli random variables | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.spl.2014.12.016 | - |
dc.identifier.scopus | eid_2-s2.0-84920885389 | - |
dc.identifier.volume | 98 | - |
dc.identifier.spage | 79 | - |
dc.identifier.epage | 88 | - |
dc.identifier.isi | WOS:000350516800013 | - |