Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "7992"
  #_source: array:26 [
    "id" => "7992"
    "slug" => "diversification-benefits-under-multivariate-second-order-regular-variation"
    "yearMonth" => "2017-04"
    "year" => "2017"
    "title" => "Diversification Benefits Under Multivariate Second Order Regular Variation"
    "description" => "DAS, S. et KRATZ, M. (2017). <i>Diversification Benefits Under Multivariate Second Order Regular Variation</i>. ESSEC Business School."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "KRATZ Marie"
        "bid" => "B00072305"
        "slug" => "kratz-marie"
      ]
      1 => array:1 [
        "name" => "DAS S."
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2021-09-24 10:33:27"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => null
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Documents de travail"
      "en" => "Working Papers"
    ]
    "support_type" => array:2 [
      "fr" => "Editeur"
      "en" => "Publisher"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "We analyze risk diversification in a portfolio of heavy-tailed risk factors under the assumption of second order multivariate regular variation. Asymptotic limits for a measure of diversification benefit are obtained when considering, for instance, the value-at-risk. The asymptotic limits are computed in a few examples exhibiting a variety of different assumptions made on marginal or joint distributions. This study ties up existing related results available in the literature under a broader umbrella."
      "en" => "We analyze risk diversification in a portfolio of heavy-tailed risk factors under the assumption of second order multivariate regular variation. Asymptotic limits for a measure of diversification benefit are obtained when considering, for instance, the value-at-risk. The asymptotic limits are computed in a few examples exhibiting a variety of different assumptions made on marginal or joint distributions. This study ties up existing related results available in the literature under a broader umbrella."
    ]
    "authors_fields" => array:2 [
      "fr" => "Systèmes d'Information, Data Analytics et Opérations"
      "en" => "Information Systems, Data Analytics and Operations"
    ]
    "indexedAt" => "2024-12-22T01:21:46.000Z"
    "docTitle" => "Diversification Benefits Under Multivariate Second Order Regular Variation"
    "docSurtitle" => "Working Papers"
    "authorNames" => "<a href="/cv/kratz-marie">KRATZ Marie</a>, DAS S."
    "docDescription" => "<span class="document-property-authors">KRATZ Marie, DAS S.</span><br><span class="document-property-authors_fields">Information Systems, Data Analytics and Operations</span> | <span class="document-property-year">2017</span>"
    "keywordList" => ""
    "docPreview" => "<b>Diversification Benefits Under Multivariate Second Order Regular Variation</b><br><span>2017-04 | Working Papers </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Diversification Benefits Under Multivariate Second Order Regular Variation</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.982854
  +"parent": null
}