Subadditivity re–examined:the case for value-at-risk

Danielsson, JonORCID logo; Jorgensen, Bjørn N.; Mandira, Sarma; Samorodnitsky, Gennady; and Vries, C. G. de (2005) Subadditivity re–examined:the case for value-at-risk. [Working paper]
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This paper explores the potential for violations of VaR subadditivity both theoretically and by simulations, and finds that for most practical applications VaR is subadditive. Hence, there is no reason to choose a more complicated risk measure than VaR, solely for reasons of coherence.


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