{"id":191,"date":"2015-01-24T17:29:42","date_gmt":"2015-01-24T17:29:42","guid":{"rendered":"http:\/\/pages.charlotte.edu\/probability-seminar\/?p=191"},"modified":"2015-01-24T17:32:33","modified_gmt":"2015-01-24T17:32:33","slug":"tuesday-jan-27-2014-at-215pm-in-fretwell-379-math-conference-room","status":"publish","type":"post","link":"https:\/\/pages.charlotte.edu\/probability-seminar\/blog\/2015\/01\/24\/tuesday-jan-27-2014-at-215pm-in-fretwell-379-math-conference-room\/","title":{"rendered":"Tuesday Jan. 27, 2015 at 5:00PM in Fretwell 379 (Math Conference Room)"},"content":{"rendered":"<p><a href=\"http:\/\/math2.uncc.edu\/~mgrabcha\/\">Michael Grabchak<\/a>, UNC Charlotte<\/p>\n<p>Title:\u00a0<span style=\"font-family: Tahoma\">Does value-at-risk encourage diversification when losses follow tempered stable or more general Levy processes?<\/span><\/p>\n<p>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.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Michael Grabchak, UNC Charlotte Title:\u00a0Does 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 [&hellip;]<\/p>\n","protected":false},"author":16,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[7],"tags":[],"class_list":["post-191","post","type-post","status-publish","format-standard","hentry","category-probability_seminar"],"_links":{"self":[{"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/posts\/191","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/users\/16"}],"replies":[{"embeddable":true,"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/comments?post=191"}],"version-history":[{"count":6,"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/posts\/191\/revisions"}],"predecessor-version":[{"id":197,"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/posts\/191\/revisions\/197"}],"wp:attachment":[{"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/media?parent=191"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/categories?post=191"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/pages.charlotte.edu\/probability-seminar\/wp-json\/wp\/v2\/tags?post=191"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}