Subadditivity re-examined: The case for Value-at-Risk

   Jón Daníelsson, Casper de Vries, B. J. G. S. and S. Mandira (2005, November). Subadditivity re-examined: The case for value–at–risk.

Download paper
This paper explores the potential for violations of VaR subadditivity both theoretically and by simulations, and finds that for most practical applications VaR is subadditive. Hence, there is no reason to choose a more complicated risk measure than VaR, solely for reasons of coherence.

@MISC{DanielssonVriesJorgensenSamorodnitskyMandira2005,
 author =  {J{\'o}n Dan{\'\i}elsson, Casper de Vries, Bjorn
                 Jorgensen, Gennady Samorodnitsky and Sarma Mandira},
 title =   {Subadditivity re-examined: The case for Value--at--Risk},
 year =    2005,
 url =     {RiskResearch.org},
}