Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
Year of publication: |
2014
|
---|---|
Authors: | Grabchak, Michael |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 10.2014, 4, p. 553-568
|
Subject: | Value-at-risk | Diversification | Lévy processes | Tempered stable distributions | Heavy tails | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Diversifikation |
-
Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model
Fard, Farzad Alavi, (2021)
-
Chen, Rongda, (2013)
-
Makarov, Roman, (2023)
- More ...
-
Do financial returns have finite or infinite variance? A paradox and an explanantion
Grabchak, Michael, (2009)
-
A note on calculating expected shortfall for discrete time stochastic volatility models
Grabchak, Michael, (2021)
-
A note on calculating expected shortfall for discrete time stochastic volatility models
Grabchak, Michael, (2021)
- More ...