A condition that entails that diversification, on which modern portfolio theory (MPT) is premised, will normally hold since a subadditive...

As a risk metric, value at risk (VaR) does lack subadditivity, i.e., it is not subadditive (does not support the...

A measure of value at risk (VaR) that aims to estimate the potential loss that could arise from a 12-month...

A measure of value at risk (VaR) that aims to estimate the potential loss that could arise from a 12-month...

It stands for symmetric value at risk (symmetric VaR); a measure of value at risk (VaR) that captures the risk...

A measure of value at risk (VaR) that captures the risk of loss at the average of the expected return...

A measure of value at risk (VaR) that captures the risk of loss at the average of the expected return...

A risk measure (value at risk, VaR) that quantifies the expected value of the loss arising on a portfolio/ a...

It stands for tail value at risk (tail VaR); a risk measure (value at risk, VaR) that quantifies the expected...

A risk measure (value at risk, VaR) that quantifies the expected value of the loss arising on a portfolio/ a...