Abstract
The VaR is an altogether relatively intuitive abbreviation of the two-dimensional concept of risk, but one characteristic in particular might not be self-evident at first sight.
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- 1.
An even simpler example might be of use. Assume to own 2 units of some stock that can go up or down with the same probability; you will lose money 50% of the time. Investing instead in 1 unit of two different, independent stocks each will have you lose money only 25% of the time.
- 2.
The same effect can crop up with partial VaRs.
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Auer, M. (2018). Properties of VaR. In: Hands-On Value-at-Risk and Expected Shortfall. Management for Professionals. Springer, Cham. https://doi.org/10.1007/978-3-319-72320-4_12
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DOI: https://doi.org/10.1007/978-3-319-72320-4_12
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Publisher Name: Springer, Cham
Print ISBN: 978-3-319-72319-8
Online ISBN: 978-3-319-72320-4
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