A characterization of optimal portfolios under the tail mean-variance criterion (Q2442517): Difference between revisions

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-Zinoviy Landsman
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+https://doi.org/10.1016/j.insmatheco.2012.12.004
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+Coherent Measures of Risk
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+Multivariate Pareto portfolios: TCE-based capital allocation and divided differences
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+Risk capital decomposition for a multivariate dependent gamma portfolio
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+Tail Variance Premium with Applications for Elliptical Portfolio of Risks
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+On the tail mean-variance optimal portfolio selection
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+Tail Conditional Expectations for Elliptical Distributions
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+Tail Conditional Expectations for Exponential Dispersion Models
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+Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
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+Publication:2442517