Portfolio diversification and value at risk under thick-tailedness

By Rustam Ibragimov. 2009

105 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/b83ddf3afd97bab7fd8eda35f0431c1ffc2c2113

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

In Management Science and Operations Research

Citations in the corpus

Fat tails, VaR and subadditivity☆ (2013, unknown): “Interestingly, Ibragimov (2005, 2009) shows that this holds for distributions that are in the intersection of the alpha-symmetric class and the regularly varying class; the multivariate Student-t distributions are part of this intersection.”
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series (2014, background): “Many financial time series have heavy tails, see, e.g., Mandelbrot (1963), Fama (1965), Rachev and Mittnik (2000), Embrechts et al. (1997), Ibragimov et al. (2009), and Ibragimov (2009), and so this is an important consideration in practice.”
Nondiversification Traps in Catastrophe Insurance Markets (2009, background): “C: Situation in Ibragimov (2004, 2005).”
The limits of diversification when losses may be large (2007, unknown): “Similar to Proposition 1, the last inequality follows from Corollary 5.3 in Ibragimov (2004a) and Theorem 4.2 in Ibragimov (2004b) since any vector w with w[1] 1 − is majorized by (that is, has less diverse or more nearly equal components than) the vector (1 − , , 0, ..., 0).”
Extreme Downside Risk and Expected Stock Returns (2012, unknown): “Moreover, researches by Ibragimov (2009), Ibragimov and Walden (2007), and Ibragimov et al. (2008) provide theoretical evidence that diversification is not always preferable, especially for extremely heavy-tailed distributions.2 Recent empirical asset pricing studies have examined other risk…”