A Basic Asymptotic Test for Value-at-Risk Subadditivity
An asymptotic hypothesis test for value-at-risk subadditivity is introduced and studied. The test is derived based on an equivalent formulation of the value-at-risk subadditivity inequality in terms of the distribution of the underlying risks’ sum. Its size is considered mathematically, and its powe...
Saved in:
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-12-01
|
| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/12/12/199 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Be the first to leave a comment!