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Subadditive Risk Measure

A risk measure (e.g., for a portfolio) which cannot exceed the sum of the measure for the components of the...

Subadditivity

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

VaR Subadditivity

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