Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
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Cites work
- scientific article; zbMATH DE number 1713116 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
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- Effect of upstream velocity profile on the free mixing of jets with ambient fluid.
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- Financial Modelling with Jump Processes
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- Inequalities: theory of majorization and its applications
- Inversions of Lévy measures and the relation between long and short time behavior of Lévy processes
- Limit theorems and phase transitions for two models of summation of iid random variables depending on parameters
- Lévy measures of infinitely divisible random vectors and Slepian inequalities
- Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
- On a new class of tempered stable distributions: moments and regular variation
- Optimal Bundling Strategies Under Heavy-Tailed Valuations
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- Proper Conditioning for Coherent VaR in Portfolio Management
- Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
- Stochastic monotonicity and Slepian-type inequalities for infinitely divisible and stable random vectors
- Tempering stable processes
- Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks
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