We know that VaR, in general, is not a subadditive risk measure. Consider a portfolio of two
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We know that VaR, in general, is not a subadditive risk measure.
Consider a portfolio of two assets, with jointly normal returns.
• Show that, in this specific case, VaR is a subadditive risk measure.
• Is standard deviation a subadditive measure in the case above? What can we say in general?
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