Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
type: Item
instance of: scholarly article
title: Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
zbMATH Open document ID: 1319.91143
author: Michael Grabchak
published in: Annals of Finance
publication date: 2014-12-12T00:00:00Z
review text: 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.
reviewed by: Anatoliy Swishchuk
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 60G52
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 6380104
zbMATH Keywords: value-at-risk
zbMATH Keywords: diversification
zbMATH Keywords: Lévy processes
zbMATH Keywords: tempered stable distributions
zbMATH Keywords: heavy tails
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: s10436-014-0249-6
OpenAlex ID: W1988161575
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DOI: 10.1007/S10436-014-0249-6
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description: scientific article; zbMATH DE number 6380104