On the Tail Mean-Variance optimal portfolio selection
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- repec:eee:apmaco:v:282:y:2016:i:c:p:187-203 is not listed on IDEAS
- Owadally, Iqbal & Landsman, Zinoviy, 2013. "A characterization of optimal portfolios under the tail mean–variance criterion," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 213-221.
- Landsman, Zinoviy & Makov, Udi & Shushi, Tomer, 2016. "Tail conditional moments for elliptical and log-elliptical distributions," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 179-188.
- Xu, Maochao & Mao, Tiantian, 2013. "Optimal capital allocation based on the Tail Mean–Variance model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 533-543.
More about this item
KeywordsTail condition expectation Tail variance Tail Mean-Variance model Optimal portfolio selection Square root of quadratic functional Elliptical family Quartic equation;
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