Portfolio diversification and value at risk under thick-tailednessFootnote†

†The results in this paper constitute a part of the author's dissertation ‘New majorization theory in economics and martingale convergence results in econometrics’ presented to the faculty of the Graduate School of Yale University in candidacy for the degree of Doctor of Philosophy in Economics in March, 2005. The results were originally contained in the work circulated in 2003–2005 under the titles ‘Shifting paradigms: On the robustness of economic models to heavy-tailedness assumptions’ and ‘On the robustness of economic models to heavy-tailedness assumptions’.

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