Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
Michael Grabchak
| Year of publication: |
2014
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|---|---|
| Authors: | Grabchak, Michael |
| Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 10.2014, 4, p. 553-568
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| Subject: | Value-at-risk | Diversification | Lévy processes | Tempered stable distributions | Heavy tails | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Diversifikation | Risiko | Risk | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010463508