Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
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.
scientific article; zbMATH DE number 6380104
scientific article