Diversification Benefits Under Multivariate Second Order Regular Variation

Bikramjit Das, Marie Kratz
2017 Social Science Research Network  
We analyze risk diversification in a portfolio of heavy-tailed risk factors under the assumption of second order multivariate regular variation. Asymptotic limits for a measure of diversification benefit 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
more » ... under a broader umbrella.
doi:10.2139/ssrn.2966181 fatcat:uorsxduo3ffvbmvi6iyupadqjy