Value at risk and the diversification dogma
Risk Management
2016-09-12 v1
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.
Cite
@article{arxiv.1609.02774,
title = {Value at risk and the diversification dogma},
author = {Arturo Erdely},
journal= {arXiv preprint arXiv:1609.02774},
year = {2016}
}
Comments
10 pages, 1 figure, in English and Spanish