• Fat tails and copulas: limits of diversification revisited 

      Ibragimov, Rustam; Prokhorov, Artem; Mo, Jingyuan
      Published 2015-09-11
      We consider the problem of portfolio risk diversification in a Value-at-Risk framework with heavy-tailed risks and arbitrary dependence captured by a copula function. We use the power law for modelling the tails and ...
      Open Access
      Working Paper