Michael Grabchak, UNC Charlotte
Title: Does value-at-risk encourage diversification when losses follow tempered stable or more general Levy processes?
Abstract: We address the question of when portfolio selection based on Value-at-risk encourages diversification. Specifically, we give sufficient conditions for the case when losses follow a Levy process. When the process has finite variation, these conditions are also necessary. We then specialize our results to the case when losses have tempered stable distributions.