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Diversification in heavy-tailed portfolios: properties and pitfalls

https://doi.org/10.1017/s1748499512000280
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9781119203780.part2openalex-snapshot
Quantitative Risk Management
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Extreme Value Theory
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Extreme Values, Regular Variation and Point Processes
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The variation of certain speculative prices
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Quantitative Risk Management
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Copula Theory and Its Applications
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Modelling Extremal Events
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Bivariate extreme statistics, I
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On optimal portfolio diversification with respect to extreme risks
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Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
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Support Theorems for the Radon Transform and Cramér-Wold Theorems
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Dependence structure of risk factors and diversification effects
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Risk concentration and diversification: Second-order properties
inferredcites →https://doi.org/10.1016/j.jeconom.2012.08.011openalex-snapshot
Fat tails, VaR and subadditivity
inferredcites →https://doi.org/10.1016/j.jfineco.2010.08.015openalex-snapshot
Diversification disasters
inferredcites →https://doi.org/10.1016/j.jmva.2010.02.010openalex-snapshot
Meta densities and the shape of their sample clouds
inferredcites →https://doi.org/10.1017/cbo9780511615337.008openalex-snapshot
Correlation and Dependence in Risk Management: Properties and Pitfalls
inferredcites →https://doi.org/10.1017/cbo9780511721434openalex-snapshot
Regular Variation
inferredcites →https://doi.org/10.1086/294632openalex-snapshot
The Variation of Certain Speculative Prices
inferredcites →https://doi.org/10.1086/294743openalex-snapshot
The Behavior of Stock-Market Prices
inferredcites →https://doi.org/10.1093/rfs/hhn021openalex-snapshot
Nondiversification Traps in Catastrophe Insurance Markets
inferredcites →https://doi.org/10.1111/1467-9965.00068openalex-snapshot
Coherent Measures of Risk
inferredcites →https://doi.org/10.1111/j.1467-9965.2009.00370.xopenalex-snapshot
RISK MEASURES FOR NON‐INTEGRABLE RANDOM VARIABLES
inferredcites →https://doi.org/10.1198/jasa.2003.s278openalex-snapshot
Risk Management: Value at Risk and Beyond
inferredcites →https://doi.org/10.1201/9780203483350openalex-snapshot
Extreme Values in Finance, Telecommunications, and the Environment
inferredcites →https://doi.org/10.1201/9780203483350.ch5openalex-snapshot
Modeling Dependence and Tails of Financial Time Series
inferredcites →https://doi.org/10.1214/aoap/1031863174openalex-snapshot
A characterization of multivariate regular variation
inferredcites →https://doi.org/10.1239/aap/1033662167openalex-snapshot
Multivariate extremes, aggregation and dependence in elliptical distributions
inferredcites →https://doi.org/10.1524/strm.2012.1103openalex-snapshot
Ordering of multivariate risk models with respect to extreme portfolio losses
inferredcites →https://doi.org/10.2139/ssrn.1923008openalex-snapshot
Statistical Review of Nuclear Power Accidents
inferredcites →https://doi.org/10.2139/ssrn.557214openalex-snapshot
The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee
inferredcites →https://doi.org/10.2298/pim0694121hopenalex-snapshot
Regular variation for measures on metric spaces

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Diversification and Financial Stability
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Default Probabilities and Default Correlations Under Stress
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Asymptotics for credit portfolio losses due to defaults in a multi-sector model
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The effect of aggregation on extremes from asymptotically independent light-tailed risks
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Multi-normex distributions for the sum of random vectors. Rates of convergence
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Estimating asymptotic dependence functionals in multivariate regularly varying models
inferred← citeshttps://doi.org/10.1007/s11009-015-9458-3openalex-snapshot
Background Risk Models and Stepwise Portfolio Construction
inferred← citeshttps://doi.org/10.1007/s11009-023-10066-7openalex-snapshot
Asymptotics of Sum of Heavy-tailed Risks with Copulas
inferred← citeshttps://doi.org/10.1016/j.insmatheco.2022.07.010openalex-snapshot
Asymptotic analysis of portfolio diversification
inferred← citeshttps://doi.org/10.1016/j.insmatheco.2023.08.006openalex-snapshot
Diversification quotients based on VaR and ES
inferred← citeshttps://doi.org/10.1016/j.insmatheco.2026.103275openalex-snapshot
On asymptotic behavior of portfolio risks and goodness of elliptical approximations
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Model uncertainty and VaR aggregation
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A Clustering Approach and a Rule of Thumb for Risk Aggregation
inferred← citeshttps://doi.org/10.1016/j.jedc.2017.01.013openalex-snapshot
Portfolio diversification and systemic risk in interbank networks
inferred← citeshttps://doi.org/10.1016/j.jempfin.2015.03.003openalex-snapshot
Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz
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Testing the Multivariate Regular Variation Model
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Extremal behaviour of aggregated data with an application to downscaling
inferred← citeshttps://doi.org/10.1093/jjfinec/nbt020openalex-snapshot
Expected Shortfall Estimation and Gaussian Inference for Infinite Variance Time Series
inferred← citeshttps://doi.org/10.1111/mafi.12393openalex-snapshot
Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence
inferred← citeshttps://doi.org/10.1146/annurev-statistics-042720-015705openalex-snapshot
Extreme Value Analysis for Financial Risk Management
inferred← citeshttps://doi.org/10.1209/0295-5075/105/38004openalex-snapshot
Credit risk and the instability of the financial system: An ensemble approach
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Robust bounds in multivariate extremes
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Empirical likelihood based testing for multivariate regular variation
inferred← citeshttps://doi.org/10.1239/jap/1417528476openalex-snapshot
Aggregation of log-linear risks
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Risk Analysis and Portfolio Modelling
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Computational Methods for Risk Management in Economics and Finance
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Value-at-Risk and Models of Dependence in the U.S. Federal Crop Insurance Program
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An Academic Response to Basel 3.5
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Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations
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Extreme Portfolio Loss Correlations in Credit Risk
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