Value at risk and the diversification dogma

Arturo Erdely

Papers from arXiv.org

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 diversificaci\'on de riesgos y se demuestra que no siempre resulta mejor que no diversificar, pues esto depende de caracter\'isticas individuales de los riesgos involucrados, as\'i como de la relaci\'on de dependencia entre los mismos.

Date: 2016-09
New Economics Papers: this item is included in nep-rmg and nep-sog
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