Value at Risk and the Diversification Dogma || Valor en riesgo y el dogma de la diversificación

Arturo Erdely ()
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Arturo Erdely: Facultad de Estudios Superiores Acatlán. Universidad Nacional Autónoma de México (México)

Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, 2017, vol. 24, issue 1, 209-219

Abstract: The so-called risk diversification principle is analyzed, showing that its convenience depends on individual characteristics of the risks involved and the dependence relationship among them. || Se analiza el principio de diversificación de riesgos y se demuestra que no siempre resulta mejor que no diversificar, pues esto depende de características individuales de los riesgos involucrados, así como de la relación de dependencia entre los mismos.

Keywords: value at risk; loss aggregation; comonotonicity; diversification; valor en riesgo; agregación de pérdidas; comonotonicidad; diversificación (search for similar items in EconPapers)
JEL-codes: G11 G22 (search for similar items in EconPapers)
Date: 2017
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