Subadditivity of Value-at-Risk for Bernoulli random variables

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Publication details

JournalStatistics & Probability Letters
DatePublished - 1 Mar 2015
Number of pages10
Pages (from-to)79-88
Original languageEnglish


Necessary and sufficient conditions for the subadditivity of Value-at-Risk (VaRα) for portfolios of bonds are presented under various dependence assumptions. For sufficiently large α, VaRα is subadditive. However, for any α one can construct portfolios for which VaRα is superadditive.

    Research areas

  • Bernoulli random variables, Portfolio of bonds, Risk measure, Superadditivity, Value-at-Risk

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