Diversification in heavy-tailed portfolios
Properties and pitfalls
dc.contributor.author
Mainik, Georg
dc.contributor.author
Embrechts, Paul
dc.date.accessioned
2017-06-10T12:05:51Z
dc.date.available
2017-06-10T12:05:51Z
dc.date.issued
2013-03
dc.identifier.issn
1748-5002
dc.identifier.issn
1748-4995
dc.identifier.other
10.1017/S1748499512000280
dc.identifier.uri
http://hdl.handle.net/20.500.11850/60417
dc.identifier.doi
10.3929/ethz-b-000060417
dc.format
application/pdf
dc.language.iso
en
dc.publisher
Institute of Actuaries and the Faculty of Actuaries
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
Diversification
dc.subject
Value-at-Risk
dc.subject
Heavy tails
dc.subject
Tail dependence
dc.subject
Risk subadditivity
dc.subject
Risk superadditivity
dc.subject
Multivariate regular variation
dc.subject
Infinite means
dc.title
Diversification in heavy-tailed portfolios
dc.type
Journal Article
dc.rights.license
In Copyright - Non-Commercial Use Permitted
ethz.title.subtitle
Properties and pitfalls
ethz.journal.title
Annals of Actuarial Science
ethz.journal.volume
7
ethz.journal.issue
1
ethz.pages.start
26
ethz.pages.end
45
ethz.version.deposit
publishedVersion
ethz.notes
It was possible to publish this article open access thanks to a Swiss National Licence with the publisher
ethz.identifier.nebis
005946775
ethz.publication.place
London
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
ethz.date.deposited
2017-06-10T12:06:08Z
ethz.source
ECIT
ethz.identifier.importid
imp5936502256ee742095
ethz.ecitpid
pub:96505
ethz.eth
yes
ethz.availability
Open access
ethz.date.embargoend
2018-03-01
ethz.rosetta.installDate
2017-07-14T16:22:49Z
ethz.rosetta.lastUpdated
2022-03-28T11:19:16Z
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true
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