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VaR at Its Extremes: Impossibilities and Conditions for One-Sided Random Variables
Value-at-Risk (VaR) may reward diversification at some probability levels and penalize it at others. We study the two extremal regimes in which one effect prevails at every level simultaneously, for sums of one-sided risks. For risks supported on $[0,\infty)$, VaR sub-additivity at all levels, exact
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