Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? (Q481380)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? |
scientific article |
Statements
Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? (English)
0 references
12 December 2014
0 references
The author presents sufficient conditions for the portfolio selection, based on value-at-risk, to encourage diversification for the case when losses follow a Lévy process. These conditions are also necessary when the process has finite variation. The results are specified for the case of tempered stable distributions losses.
0 references
value-at-risk
0 references
diversification
0 references
Lévy processes
0 references
tempered stable distributions
0 references
heavy tails
0 references
