As the dependence structure is ... xed , do more risky assets lead to more risky portfolios ?
نویسنده
چکیده
As the dependence structure (i.e. the copula) among the assets is ...xed, one might think that the riskier the assets, the riskier the portfolio. Surprisingly enough, this conjecture turns out to be false even for coherent risk measures and normal returns. We show that two conditions are able to preserve risk ordering under the portfolio: convexity for the risk measure and conditional increasingness for the copula. Eventually, conditional increasingness is checked for the most popular families of copulas used in ...nancial modelling and actuarial sciences. JEL Subject Classification: G31, G11, C15.
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