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Value at risk and the diversification dogma

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  • Arturo Erdely

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.

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  • Arturo Erdely, 2016. "Value at risk and the diversification dogma," Papers 1609.02774, arXiv.org.
    • Handle: RePEc:arx:papers:1609.02774
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