Correlation, co-dependency and risk aggregation [11]

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Bullet points include: Additivity, scalability and unique axioms, k a scalar, A and B are sets of contingencies and V(X) is the value (market value, ...) we place on these payoffs. Also known as Law of One Price. Principle of Contemporaneous Value Continuity: nearly identical things are nearly identically valued. Fundamental theorem in derivative pricing. So risk management and derivative pricing closely aligned. See e.g. Kemp (2009) and Kemp (2010)

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