Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
DOI10.1007/S10436-014-0249-6zbMATH Open1319.91143OpenAlexW1988161575MaRDI QIDQ481380FDOQ481380
Authors: Michael Grabchak 
Publication date: 12 December 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-014-0249-6
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Processes with independent increments; Lévy processes (60G51) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Stable stochastic processes (60G52)
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