[R-SIG-Finance] [R-sig-finance] VaR

Bastian Offermann bastian2507hk at yahoo.co.uk
Tue Mar 3 13:01:33 CET 2009

A brief example is given in "Introduction to Modern Portfolio 
Optimization with NuOPT..." by Bernd Scherer (2005), page 180. That's 
most probably what you are looking for.

This might also be useful

"Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, and David Heath. 
Coherent measures
of risk. Mathematical Finance, pages 203-228 (1999)


Bogaso schrieb:
> I frequently hear Value at risk i.e. VaR is not a coherent risk measure
> because, sum of VaR for two individual assets may be LOWER than VaR of
> portfolio consists of that two aseets i.e. VaR may not be sub-additive.
> However when I calculate VaR for general assets like Equity, commodity etc,
> I see that VaR is actually sub-addtive i.e. portfolio VaR is always less
> than sum of individuals, which is reported as "diversification benefit". Can
> anyone give me a particular example why VaR is not sub-additive?
> Thanks

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