Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? (Q481380)
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English | Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? |
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Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? (English)
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12 December 2014
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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.
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value-at-risk
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diversification
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Lévy processes
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tempered stable distributions
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heavy tails
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