• Corpus ID: 255546289

Diversification quotients based on VaR and ES

  title={Diversification quotients based on VaR and ES},
  author={Xia Han and Liyuan Lin and Ruodu Wang},
The diversification quotient (DQ) is a recently introduced tool for quantifying the degree of diversification of a stochastic portfolio model. It has an axiomatic foundation and can be defined through a parametric class of risk measures. Since the Value-at-Risk (VaR) and the Expected Shortfall (ES) are the most prominent risk measures widely used in both banking and insurance, we investigate DQ constructed from VaR and ES in this paper. In particular, for the popular models of elliptical and… 

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