Grabchak, Michael - In: Annals of Finance 10 (2014) 4, pp. 553-568
In this paper, we address the question of when portfolio selection based on Value-at-risk encourages diversification [in the sense of Ibragimov (Quant Financ 9(5):565–580, <CitationRef CitationID="CR14">2009</CitationRef>)]. Specifically, we give sufficient conditions for the case when losses follow a Lévy process. When the process has...</citationref>